Rectangular sets of probability measures

DOI10.1287/OPRE.2015.1466MaRDI QIDQ5740228zbMATH OpenOpenAlexWikidataFDO

Authors Alexander Shapiro

Publication date 25 July 2016

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9fc3829f47e222c3d0ef50a5d370c0e38a185658

zbMATH Keywords

dynamic programmingtime consistencycoherent risk measuresrectangularityrisk-averse optimizationmultistage stochastic optimizationrobust optimal control and Markov decision processes

Mathematics Subject Classification ID

Stochastic programming (90C15) Minimax problems in mathematical programming (90C47) Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 3257962 (Why is no real title available?)
• Coherent measures of risk
• Conditional Risk Mappings
• Minimal representation of insurance prices
• Minimax and risk averse multistage stochastic programming
• Optimization of risk measures
• Recursive multiple-priors.
• Risk-averse dynamic programming for Markov decision processes
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• Robust Dynamic Programming
• Robust Markov Decision Processes
• Tight approximations of dynamic risk measures
• Time consistency of dynamic risk measures

Cited in

(28)

• Equivalence between time consistency and nested formula
• Distributionally robust stochastic optimal control
• A multistage distributionally robust optimization approach to water allocation under climate uncertainty
• Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
• A survey of decision making and optimization under uncertainty
• Robust optimal control using conditional risk mappings in infinite horizon
• Distributionally Robust Inventory Control When Demand Is a Martingale
• Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
• Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty
• Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
• Time (in)consistency of multistage distributionally robust inventory models with moment constraints
• A quantitative comparison of risk measures
• scientific article; zbMATH DE number 4000770 (Why is no real title available?)
• Optimal learning under robustness and time-consistency
• Technical note -- time inconsistency of optimal policies of distributionally robust inventory models
• Using a Duffing control approach to control the single risk factor in complex social-technical systems
• Policy gradient algorithms for robust MDPs with nonrectangular uncertainty sets
• Mathematical foundations of distributionally robust multistage optimization
• Distributionally robust optimal control and MDP modeling
• Sequential decision-making under uncertainty: a robust MDPs review
• Preference ambiguity and robustness in multistage decision making
• Testing exchangeability: fork-convexity, supermartingales and e-processes
• Martingale characterizations of risk-averse stochastic optimization problems
• A central limit theorem for sets of probability measures
• Robust Dual Dynamic Programming
• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
• Frameworks and results in distributionally robust optimization
• Robust postdonation blood screening under prevalence rate uncertainty

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