Worst-case-expectation approach to optimization under uncertainty
DOI10.1287/OPRE.2013.1229zbMATH Open1291.90154OpenAlexW2144312128MaRDI QIDQ5166293FDOQ5166293
Joari Paulo da Costa, Alexander Shapiro, Murilo Pereira Soares, Wajdi Tekaya
Publication date: 26 June 2014
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2013.1229
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robust optimizationstochastic dual dynamic programmingdynamic equationsmultistage stochastic programmingsample average approximationtime consistencycase studiesrisk-neutral and risk-averse approaches
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- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Dual dynamic programming with cut selection: convergence proof and numerical experiments
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity
- Robust Dual Dynamic Programming
- Sensitivity analysis of worst-case distribution for probability optimization problems
- Frameworks and results in distributionally robust optimization
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