Primal and dual linear decision rules in stochastic and robust optimization
From MaRDI portal
Publication:647394
DOI10.1007/S10107-009-0331-4zbMATH Open1236.90087OpenAlexW2014923785WikidataQ92159415 ScholiaQ92159415MaRDI QIDQ647394FDOQ647394
Authors: Daniel Kuhn, Wolfram Wiesemann, Angelos Georghiou 
Publication date: 23 November 2011
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-009-0331-4
Recommendations
- Primal-dual algorithms for optimization with stochastic dominance
- Duality relations and optimality conditions in linear stochastic programming
- Primal-dual constraint aggregation with application to stochastic programming
- Primal-dual stability in continuous linear optimization
- A primal-dual decomposition algorithm for multistage stochastic convex programming
- Probabilistic constraints in primal and dual linear programs: Duality results
- A fully stochastic primal-dual algorithm
- Duality in stochastic linear and dynamic programming
- Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming
Cites Work
- Linear Matrix Inequalities in System and Control Theory
- Variational Analysis
- Title not available (Why is that?)
- Semidefinite Programming
- The Price of Robustness
- Robust solutions of uncertain linear programs
- On duality theory of conic linear problems.
- Robust convex optimization
- A Robust Optimization Perspective on Stochastic Programming
- Robust Solutions to Uncertain Semidefinite Programs
- Multi-period portfolio optimization with linear control policies
- Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems
- Dynamic programming and optimal control. Vol. 2.
- Robust Solutions of Uncertain Quadratic and Conic-Quadratic Problems
- Title not available (Why is that?)
- Adjustable robust solutions of uncertain linear programs
- A Linear Decision-Based Approximation Approach to Stochastic Programming
- Computational complexity of stochastic programming problems
- On complexity of stochastic programming problems
- Inference of statistical bounds for multistage stochastic programming problems
- Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs
- Robust capacity expansion of network flows
- Uncertain linear programs: extended affinely adjustable robust counterparts
- On decision rules in stochastic programming
- An information-based approximation scheme for stochastic optimization problems in continuous time
- Title not available (Why is that?)
Cited In (83)
- A general model and efficient algorithms for reliable facility location problem under uncertain disruptions
- Risk-averse two-stage stochastic program with distributional ambiguity
- A distributionally robust optimization approach for two-stage facility location problems
- Decision-dependent probabilities in stochastic programs with recourse
- A perfect information lower bound for robust lot-sizing problems
- Multistage adaptive robust optimization for the hydrothermal scheduling problem
- A successive linear programming algorithm with non-linear time series for the reservoir management problem
- A survey of adjustable robust optimization
- Adjustable robust optimization via Fourier-Motzkin elimination
- Generalized Farkas lemma with adjustable variables and two-stage robust linear programs
- Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
- International portfolio management with affine policies
- Multipolar robust optimization
- Duality in two-stage adaptive linear optimization: faster computation and stronger bounds
- \(K\)-adaptability in two-stage mixed-integer robust optimization
- \(K\)-adaptability in two-stage robust binary programming
- Joint dynamic probabilistic constraints with projected linear decision rules
- Stochastic decomposition applied to large-scale hydro valleys management
- On the performance of affine policies for two-stage adaptive optimization: a geometric perspective
- Conditions under which adjustability lowers the cost of a robust linear program
- On the safe side of stochastic programming: bounds and approximations
- Oracle-based algorithms for binary two-stage robust optimization
- Generalized decision rule approximations for stochastic programming via liftings
- A constraint sampling approach for multi-stage robust optimization
- Piecewise static policies for two-stage adjustable robust linear optimization
- Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
- Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization
- Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set
- Distributionally robust joint chance constraints with second-order moment information
- Distributionally robust optimization and its tractable approximations
- Decision support for strategic energy planning: a robust optimization framework
- Recent advances in robust optimization: an overview
- Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
- Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
- Multistage adaptive robust optimization for the unit commitment problem
- ROC++: Robust Optimization in C++
- Decomposition-Based Approaches for a Class of Two-Stage Robust Binary Optimization Problems
- Design of near optimal decision rules in multistage adaptive mixed-integer optimization
- Two-stage linear decision rules for multi-stage stochastic programming
- Lagrangian Duality for Robust Problems with Decomposable Functions: The Case of a Robust Inventory Problem
- The impact of the existence of multiple adjustable robust solutions
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- Multistage robust mixed-integer optimization under endogenous uncertainty
- Energy and reserve dispatch with distributionally robust joint chance constraints
- Sequential convex programming for non-linear stochastic optimal control
- A primal-dual lifting scheme for two-stage robust optimization
- On the power and limitations of affine policies in two-stage adaptive optimization
- Robust optimization of schedules affected by uncertain events
- Robust Dual Dynamic Programming
- A polynomial-time solution scheme for quadratic stochastic programs
- Robust international portfolio management
- Mathematical programming methods for microgrid design and operations: a survey on deterministic and stochastic approaches
- Binary decision rules for multistage adaptive mixed-integer optimization
- The decision rule approach to optimization under uncertainty: methodology and applications
- Robust combinatorial optimization under convex and discrete cost uncertainty
- Frameworks and results in distributionally robust optimization
- Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation
- Decision rule bounds for two-stage stochastic bilevel programs
- Ambiguous joint chance constraints under mean and dispersion information
- Robust inventory theory with perishable products
- A Linear Decision-Based Approximation Approach to Stochastic Programming
- Dynamic portfolio choice: a simulation-and-regression approach
- Bound-based decision rules in multistage stochastic programming
- A sample robust optimal bidding model for a virtual power plant
- Target-oriented robust satisficing models for the single machine scheduling problems with release time
- Mitigating the COVID‐19 pandemic through data‐driven resource sharing
- Lagrangian dual decision rules for multistage stochastic mixed-integer programming
- Decision rule-based method in solving adjustable robust capacity expansion problem
- Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems
- Differentiability conditions for stochastic hybrid systems with application to the optimal design of microgrids
- A double-oracle, logic-based Benders decomposition approach to solve the \(K\)-adaptability problem
- Epiconvergence of relaxed stochastic optimization problems
- Adjustable robust optimization reformulations of two-stage worst-case regret minimization problems
- Designing tractable piecewise affine policies for multi-stage adjustable robust optimization
- Affine routing for robust network design
- On ambiguity-averse market equilibrium
- Stochastic optimization in supply chain networks: averaging robust solutions
- Data-driven decisions for problems with an unspecified objective function
- Optimal chance-constrained pension fund management through dynamic stochastic control
- Decision bounding problems for two-stage distributionally robust stochastic bilevel optimization
- Decomposition of convex high dimensional aggregative stochastic control problems
- Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
- Pareto adaptive robust optimality via a Fourier-Motzkin elimination lens
This page was built for publication: Primal and dual linear decision rules in stochastic and robust optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q647394)
