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ArticleStability analysis for stochastic programs

Werner Römisch1991

Article1991

Stability analysis for stochastic programs

Werner Römisch · Rüdiger Schultz

100 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Optimization and Variational Analysis Advanced Optimization Algorithms Research

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References

2010Stochastic Linear Programming 1988Numerical Techniques for Stochastic Optimization 1976Stochastic Linear Programming 1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse 1983Stochastic Programming: Solution Techniques and Approximation Schemes 2011Stochastic programming 1987Stability in Two-Stage Stochastic Programming

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1995On structure and stability in stochastic programs with random technology matrix and complete integer recourse 2003Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse 2007Structural properties of linear probabilistic constraints 2007Scenario reduction in stochastic programming with respect to discrepancy distances 2018Scenario reduction revisited: fundamental limits and guarantees 2013Robustness of optimal portfolios under risk and stochastic dominance constraints 1996

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Year1991

Typearticle

Published1991-12-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations100

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/bf02204819

openalex_workW1996289149

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Challenges in stochastic programming

1996Rates of Convergence in Stochastic Programs with Complete Integer Recourse