Coupled learning enabled stochastic programming with endogenous uncertainty

DOI10.1287/MOOR.2021.1185MaRDI QIDQ5085157zbMATH OpenOpenAlexFDO

Authors Junyi Liu, Suvrajeet Sen, Guang-Yu Li

Publication date 27 June 2022

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.2021.1185

zbMATH Keywords

endogenous uncertaintylocal linear regressionstochastic programmingtrust region method

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30)

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Cited in

(9)

• A data-driven approach for a class of stochastic dynamic optimization problems
• Predictive stochastic programming
• Predicting Tactical Solutions to Operational Planning Problems Under Imperfect Information
• Empirical decision model learning
• Distribution-free algorithms for predictive stochastic programming in the presence of streaming data
• Perspectives on optimizing transport systems with supply-dependent demand
• The stochastic conjugate subgradient algorithm for kernel support vector machines
• A survey of contextual optimization methods for decision-making under uncertainty
• Numerical methods for stochastic optimization problems with decision-dependent distributions under large delays

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