On Conditional Risk Assessments in Scenario Optimization

DOI10.1137/21m1451385zbMath1519.90135OpenAlexW4377013549MaRDI QIDQ6155877

Marco C. Campi, Simone Garatti

Publication date: 7 June 2023

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1451385

zbMATH Keywords

stochastic optimizationBayesian statisticsconditional riskscenario approachdata-driven optimizationrisk quantification

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Convex programming (90C25) Stochastic programming (90C15)

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