Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
From MaRDI portal
Publication:5704110
DOI10.1287/moor.27.4.792.304zbMath1082.90080OpenAlexW2153120611MaRDI QIDQ5704110
Werner Römisch, Svetlozar T. Rachev
Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/b9159a428b19383a563173f45a36db63b31c0b24
stochastic programmingmixed-integerprobability metricstwo-stage modelsempirical approximationsquantitative stabilityFortet-Mourier metricschance-constrained models, stable portfolio models
Probability distributions: general theory (60E05) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Convergence of probability measures (60B10)
Related Items
Constrained optimization with stochastic feasibility regions applied to vehicle path planning, Scenario reduction in stochastic programming with respect to discrepancy distances, Graphical Convergence of Subgradients in Nonconvex Optimization and Learning, Frameworks and results in distributionally robust optimization, Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse, Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance, Unnamed Item, Thin and heavy tails in stochastic programming, Stability of multistage stochastic programs incorporating polyhedral risk measures, Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models, Quantitative stability of mixed-integer two-stage quadratic stochastic programs, Newsvendor-type models with decision-dependent uncertainty, Quantitative stability of fully random two-stage stochastic programs with mixed-integer recourse, Weak Continuity of Risk Functionals with Applications to Stochastic Programming, Stability analysis of one stage stochastic mathematical programs with complementarity constraints, Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data, Stability analysis of stochastic programs with second order dominance constraints, A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios, On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse, Proper Efficiency and Tradeoffs in Multiple Criteria and Stochastic Optimization, Approximations for Probability Distributions and Stochastic Optimization Problems, A new class of metrics for learning on real-valued and structured data, Electric power infrastructure planning under uncertainty: stochastic dual dynamic integer programming (SDDiP) and parallelization scheme, Quantitative Estimates in an M2/G2/1 Priority Queue with Non-Preemptive Priority: The Method of Strong Stability, On quantitative stability in infinite-dimensional optimization under uncertainty, Quantitative stability of fully random mixed-integer two-stage stochastic programs, Quantitative stability of full random two-stage stochastic programs with recourse, Maximizing the expected net present value in a project with uncertain cash flows, A note on scenario reduction for two-stage stochastic programs, Aggregation and discretization in multistage stochastic programming, Financial scenario generation for stochastic multi-stage decision processes as facility location problems, The value of the right distribution in stochastic programming with application to a Newsvendor problem, Epi-convergent discretizations of stochastic programs via integration quadratures, Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse, Continuity of parametric mixed-integer quadratic programs and its application to stability analysis of two-stage quadratic stochastic programs with mixed-integer recourse, Liner ship bunkering and sailing speed planning with uncertain demand, Scenario tree modeling for multistage stochastic programs, Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse, Continuity and Stability of a Quadratic Mixed-Integer Stochastic Program, Quantitative stability of full random two-stage problems with quadratic recourse, Convergent bounds for stochastic programs with expected value constraints, Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse, Data-driven stochastic optimization for distributional ambiguity with integrated confidence region, Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities, Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse, Distributionally robust optimization with moment ambiguity sets, Continuity and stability of two-stage stochastic programs with quadratic continuous recourse, On distributionally robust multiperiod stochastic optimization, Quantitative stability analysis for minimax distributionally robust risk optimization, Problem-based optimal scenario generation and reduction in stochastic programming, Scenario reduction revisited: fundamental limits and guarantees
