Stochastic optimization problems with CVaR risk measure and their sample average approximation
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Publication:604268
DOI10.1007/S10957-010-9676-3zbMATH Open1213.91161OpenAlexW2037656742MaRDI QIDQ604268FDOQ604268
Authors: Fanwen Meng, Jie Sun, Mark Goh 
Publication date: 10 November 2010
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-010-9676-3
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- scientific article; zbMATH DE number 3956819
- Stochastic optimization and risk problems
Monte Carlo methods (65C05) Approximation methods and heuristics in mathematical programming (90C59) Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15)
Cites Work
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- Credit risk optimization with conditional Value-at-Risk criterion
- Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
- A strong law of large numbers for random compact sets
- Convex risk measures for portfolio optimization and concepts of flexibility
- Stochastic programming with equilibrium constraints
- Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
- A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
- Differentiability and semismoothness properties of integral functions and their applications
- On the global minimization of the value-at-risk
- Estimation of Derivatives of Nonsmooth Performance Measures in Regenerative Systems
Cited In (19)
- Title not available (Why is that?)
- Sample average approximation method for compound stochastic optimization problems
- Sample average approximation with heavier tails II: localization in stochastic convex optimization and persistence results for the Lasso
- Gradient and Hessian of joint probability function with applications on chance-constrained programs
- Optimal insurance contract specification in the upstream sector of the oil and gas industry
- CVaR minimization by the SRA algorithm
- On variance reduction of mean-CVaR Monte Carlo estimators
- Title not available (Why is that?)
- Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse
- A new algorithm for linearly constrained c-convex vector optimization with a supply chain network risk application
- A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
- Sample average approximation of conditional value-at-risk based variational inequalities
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
- Two-stage mean-risk stochastic optimization model for port cold storage capacity under pelagic fishery yield uncertainty
- Neural network smoothing approximation method for stochastic variational inequality problems
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- Monte Carlo methods for mean-risk optimization and portfolio selection
- Simulation methods for robust risk assessment and the distorted mix approach
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