Stochastic optimization problems with CVaR risk measure and their sample average approximation
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Publication:604268
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- scientific article; zbMATH DE number 3956819
- Stochastic optimization and risk problems
Cites work
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- Convex Analysis
- Convex risk measures for portfolio optimization and concepts of flexibility
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- Differentiability and semismoothness properties of integral functions and their applications
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- From CVaR to uncertainty set: implications in joint chance-constrained optimization
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- Optimization and nonsmooth analysis
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- Stochastic programming with equilibrium constraints
Cited in
(21)- CVaR minimization by the SRA algorithm
- On variance reduction of mean-CVaR Monte Carlo estimators
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- scientific article; zbMATH DE number 7295427 (Why is no real title available?)
- Nonlinear stochastic programming involving \textit{CVaR} in the objective and constraints
- Two-stage mean-risk stochastic optimization model for port cold storage capacity under pelagic fishery yield uncertainty
- CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
- Monte Carlo methods for mean-risk optimization and portfolio selection
- Nonasymptotic upper estimates for errors of the sample average approximation method to solve risk averse stochastic programs
- scientific article; zbMATH DE number 7266886 (Why is no real title available?)
- 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
- Optimal insurance contract specification in the upstream sector of the oil and gas industry
- A new algorithm for linearly constrained c-convex vector optimization with a supply chain network risk application
- Simulation methods for robust risk assessment and the distorted mix approach
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- Gradient and Hessian of joint probability function with applications on chance-constrained programs
- A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
- Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
- Sample average approximation of conditional value-at-risk based variational inequalities
- Neural network smoothing approximation method for stochastic variational inequality problems
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