Worst-case distribution analysis of stochastic programs

DOI10.1007/S10107-005-0680-6MaRDI QIDQ2492684zbMATH OpenOpenAlexWikidataFDO

Authors Alexander Shapiro

Publication date 14 June 2006

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-005-0680-6

zbMATH Keywords

robust optimizationuniformity principleambiguous chance constraintsMin-max stochastic programming

Mathematics Subject Classification ID

Deterministic scheduling theory in operations research (90B35) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 4006173 (Why is no real title available?)
• scientific article; zbMATH DE number 236540 (Why is no real title available?)
• scientific article; zbMATH DE number 3257962 (Why is no real title available?)
• A numerical method for solving stochastic programming problems with moment constraints on a distribution function
• Ambiguous chance constrained problems and robust optimization
• Minimax analysis of stochastic problems
• On substantiation of the principle of uniformity in the problem of optimization of the probabilistic performance
• On the worst-case distribution in stochastic optimization problems with probability function
• Sensitivity analysis of worst-case distribution for probability optimization problems
• Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
• The minimax approach to stochastic programming and an illustrative application
• The uniform distribution: A rigorous justification for its use in robustness analysis

Cited in

(14)

• Environmental game modeling with uncertainties
• A general model and efficient algorithms for reliable facility location problem under uncertain disruptions
• An active-set strategy to solve Markov decision processes with good-deal risk measure
• Distributionally robust scheduling on parallel machines under moment uncertainty
• Uncertainties in minimax stochastic programs
• Distribution sensitivity analysis for stochastic programs with complete recourse
• Robust reward–risk ratio optimization with application in allocation of generation asset
• Distributionally robust single machine scheduling with risk aversion
• Stochastic programming approach to optimization under uncertainty
• On the worst-case distribution in stochastic optimization problems with probability function
• A Bayesian approach to data-driven multi-stage stochastic optimization
• A measure approximation for distributionally robust PDE-constrained optimization problems
• Distributionally robust optimization. A review on theory and applications
• Sensitivity analysis of worst-case distribution for probability optimization problems

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