Robust stochastic programming with uncertain probabilities

DOI10.1093/IMAMAN/DPM011MaRDI QIDQ3524435zbMATH OpenOpenAlexFDO

Authors Aurélie Thiele

Publication date 9 September 2008

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpm011

zbMATH Keywords

linear programmingrobust optimizationstochastic programminguncertain probabilitiesuncertainty sets

Mathematics Subject Classification ID

Stochastic programming (90C15)

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(22)

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• Incorporating model uncertainty into optimal insurance contract design
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• Robust optimization for lot-sizing problems under yield uncertainty
• Risk and complexity in scenario optimization
• Minimizing buffered probability of exceedance by progressive hedging
• On distributionally robust multiperiod stochastic optimization
• Ambiguous chance constrained problems and robust optimization
• Twenty years of linear programming based portfolio optimization
• Optimal insurance under maxmin expected utility
• Uncertainties in minimax stochastic programs
• A Robust Optimization Perspective on Stochastic Programming
• Scenario MIN-MAX optimization and the risk of empirical costs
• Managing underperformance risk in project portfolio selection
• Scenario approximation of robust and chance-constrained programs
• scientific article; zbMATH DE number 3956818 (Why is no real title available?)
• Robust Solutions in Stochastic Linear Programming
• Robust decisions under risk for imprecise probabilities
• Robust Optimization with Continuous Decision-Dependent Uncertainty with applications to demand response management
• Robust optimization with order statistic uncertainty set
• Wait-and-judge scenario optimization

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Uses Software

• SUTIL

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