Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
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Cites work
- A hierarchy of bounds for stochastic mixed-integer programs
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- A rolling horizon approach for a multi-stage stochastic fixed-charge transportation problem with transshipment
- A scalable bounding method for multistage stochastic programs
- Aggregation and discretization in multistage stochastic programming
- Barycentric bounds in stochastic programming: theory and application
- Bound-based approximations in multistage stochastic programming: nonanticipativity aggregation
- Bounds and approximations for multistage stochastic programs
- Bounds in multistage linear stochastic programming
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Coherent measures of risk
- Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity
- Conditional Risk Mappings
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
- Distributionally robust SDDP
- Distributionally Robust Stochastic Dual Dynamic Programming
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Frameworks and results in distributionally robust optimization
- Generalized bounds for convex multistage stochastic programs.
- Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- Mathematical foundations of distributionally robust multistage optimization
- Minimax and risk averse multistage stochastic programming
- Monotonic bounds in multistage mixed-integer stochastic programming
- Multi-stage stochastic optimization applied to energy planning
- Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets
- Multistage stochastic optimization
- Optimal chance-constrained pension fund management through dynamic stochastic control
- Optimization of Convex Risk Functions
- Optimization-Driven Scenario Grouping
- Risk-averse two-stage stochastic program with distributional ambiguity
- Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
- Technical note -- time inconsistency of optimal policies of distributionally robust inventory models
- The value of the stochastic solution in stochastic linear programs with fixed recourse
- Tight Bounds for Stochastic Convex Programs
- Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Cited in
(4)- Pragmatic distributionally robust optimization for simple integer recourse models
- Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets
- A positive semidefinite safe approximation of multivariate distributionally robust constraints determined by simple functions
- Title not available (Why is no real title available?)
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