Evaluating policies in risk-averse multi-stage stochastic programming
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- Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
- The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse
Cited in
(40)- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
- Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Stochastic dynamic cutting plane for multistage stochastic convex programs
- Risk-averse approximate dynamic programming with quantile-based risk measures
- The effect of regularization in portfolio selection problems
- Distributionally robust SDDP
- Risk management for forestry planning under uncertainty in demand and prices
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Distributionally Robust Stochastic Dual Dynamic Programming
- Models of Policy under Stochastic Replanning
- Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
- Sample average approximation for risk-averse problems: a virtual power plant scheduling application
- Variance reduction for sequential sampling in stochastic programming
- Complexity of stochastic dual dynamic programming
- On variance reduction of mean-CVaR Monte Carlo estimators
- Inexact cuts in stochastic dual dynamic programming
- An improved averaged two-replication procedure with Latin hypercube sampling
- Dynamic stochastic approximation for multi-stage stochastic optimization
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
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- Profit sharing mechanisms in multi-owned cascaded hydrosystems
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems
- Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
- Structure of risk-averse multistage stochastic programs
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- Risk neutral and risk averse stochastic dual dynamic programming method
- Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
- Dual dynamic programming with cut selection: convergence proof and numerical experiments
- Conditional value‐at‐risk beyond finance: a survey
- Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
- The last dozen of years of or research in Czechia and Slovakia
- SDDP for multistage stochastic linear programs based on spectral risk measures
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
- Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
- Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
- Markov decision processes with risk-sensitive criteria: an overview
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
- A unified framework for stochastic optimization
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