Variational theory for optimization under stochastic ambiguity
From MaRDI portal
Publication:5266537
DOI10.1137/16M1060704zbMATH Open1366.90149MaRDI QIDQ5266537FDOQ5266537
Johannes O. Royset, Roger J.-B. Wets
Publication date: 16 June 2017
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Recommendations
- A framework for optimization under ambiguity
- Ambiguity in risk preferences in robust stochastic optimization
- On distributionally robust multiperiod stochastic optimization
- Stochastic Optimization Methods
- Data-driven stochastic optimization for distributional ambiguity with integrated confidence region
rate of convergenceweak convergencerobust optimizationprice of robustnesslopsided convergencelop-distancestochastic ambiguity
Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Minimax problems in mathematical programming (90C47) Semi-infinite programming (90C34)
Cites Work
- Coherent measures of risk
- Variational Analysis
- Real Analysis and Probability
- Title not available (Why is that?)
- Optimization. Algorithms and consistent approximations
- Modeling with Stochastic Programming
- Theory and Applications of Robust Optimization
- Title not available (Why is that?)
- Modeling, measuring and managing risk
- Title not available (Why is that?)
- Stochastic finance. An introduction in discrete time
- Bi-level strategies in semi-infinite programming.
- Introduction to Stochastic Programming
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Title not available (Why is that?)
- Adaptive Approximations and Exact Penalization for the Solution of Generalized Semi-infinite Min-Max Problems
- Semi-infinite programming. Recent advances
- A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization
- Lectures on stochastic programming. Modeling and theory.
- A class of stochastic programs with decision dependent random elements
- Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
- Variational Convergence of Bifunctions: Motivating Applications
- Optimization of Convex Risk Functions
- Variational convergence of bivariate functions: Lopsided convergence
- Optimality functions and lopsided convergence
- Optimality functions in stochastic programming
- On the use of augmented Lagrangians in the solution of generalized semi-infinite min-max problems
- Uncertainties in minimax stochastic programs
- Ambiguous Risk Measures and Optimal Robust Portfolios
- On a Class of Minimax Stochastic Programs
- Random variables, monotone relations, and convex analysis
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
- Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
- Stability and sensitivity-analysis for stochastic programming
- Title not available (Why is that?)
- Multivariate epi-splines and evolving function identification problems
- Convergence analysis for distributionally robust optimization and equilibrium problems
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Title not available (Why is that?)
- On the Convergence in Distribution of Measurable Multifunctions (Random Sets) Normal Integrands, Stochastic Processes and Stochastic Infima
- Superquantile/CVaR risk measures: second-order theory
- Lopsided convergence: an extension and its quantification
- Title not available (Why is that?)
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
- Quantitative stability analysis for minimax distributionally robust risk optimization
Cited In (26)
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- A study of data-driven distributionally robust optimization with incomplete joint data under finite support
- Robustness of stochastic programs with endogenous randomness via contamination
- Set-convergence and its application: a tutorial
- Approximations and solution estimates in optimization
- On robustness in nonconvex optimization with application to defense planning
- Statistics with set-valued functions: applications to inverse approximate optimization
- Title not available (Why is that?)
- Epi/hypo-convergence of bifunctions on general domains and approximations of quasi-variational problems
- Robust alternative fuel refueling station location problem with routing under decision-dependent flow uncertainty
- Approximations of semicontinuous functions with applications to stochastic optimization and statistical estimation
- Variational analysis of constrained M-estimators
- Lopsided convergence: an extension and its quantification
- Approximations of quasi-equilibria and Nash quasi-equilibria in terms of variational convergence
- Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint
- Title not available (Why is that?)
- A variational approach to a cumulative distribution function estimation problem under stochastic ambiguity
- Stability and Error Analysis for Optimization and Generalized Equations
- Distributionally robust optimization under endogenous uncertainty with an application in retrofitting planning
- Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
- Global approximations of vector optimization problems in terms of variational convergence
- Diametrical risk minimization: theory and computations
- Stability and sensitivity of uncertain linear programs
- Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
- Frameworks and results in distributionally robust optimization
- Distributionally robust facility location problem under decision-dependent stochastic demand
This page was built for publication: Variational theory for optimization under stochastic ambiguity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5266537)
