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Stability analysis for stochastic programs
7 references·16 citing·35 second hop
Stability analysis for stochastic programs (1991)Stability analysis for stochastic programsStochastic programming (2011)Stochastic programmingStochastic Linear Programming (2010)Stochastic Linear ProgrammingNumerical Techniques for Stochastic Optimization (1988)Numerical Techniques for Stoc…Stability in Two-Stage Stochastic Programming (1987)Stability in Two-Stage Stocha…Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse (1986)Designing approximation schem…Stochastic Programming: Solution Techniques and Approximation Schemes (1983)Stochastic Programming: Solut…Stochastic Linear Programming (1976)Stochastic Linear ProgrammingScenario reduction revisited: fundamental limits and guarantees (2018)Scenario reduction revisited:…Properties of Chance Constraints in Infinite Dimensions with an Application to PDE Constrained Optimization (2017)Properties of Chance Constrai…Chance-constrained problems and rare events: an importance sampling approach (2015)Chance-constrained problems a…Robustness of optimal portfolios under risk and stochastic dominance constraints (2013)Robustness of optimal portfol…Stability analysis of stochastic programs with second order dominance constraints (2012)Stability analysis of stochas…Structural properties of linear probabilistic constraints (2007)Structural properties of line…Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs (2007)Stability of $\varepsilon$-ap…Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints (2007)Stability and Sensitivity of …Scenario reduction in stochastic programming with respect to discrepancy distances (2007)Scenario reduction in stochas…Robust stochastic programming with uncertain probabilities (2007)Robust stochastic programming…Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse (2003)Risk Aversion via Excess Prob…Rates of Convergence in Stochastic Programs with Complete Integer Recourse (1996)Rates of Convergence in Stoch…Challenges in stochastic programming (1996)Challenges in stochastic prog…Stability in multistage stochastic programming (1995)Stability in multistage stoch…On structure and stability in stochastic programs with random technology matrix and complete integer recourse (1995)On structure and stability in…Stability Results for Stochastic Programs and Sensors, Allowing for Discontinuous Objective Functions (1994)Stability Results for Stochas…A Stochastic Programming Model (1963)Stochastic Programming (1995)Stochastic Programming (2010)Chance Constrained Programming and Its Applications to Energy Management (2011)Threshold Boolean form for joint probabilistic constraints with random technology matrix (2013)Existence of Nash equilibrium for chance-constrained games (2016)Coherent Measures of Risk (1999)Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse (2008)Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition (2010)Introduction to Stochastic Programming (2011)Risk-averse two-stage stochastic programs in furniture plants (2012)The integer L-shaped method for stochastic integer programs with complete recourse (1993)Multistage Stochastic Integer Programs: An Introduction (2001)Two‐Stage Stochastic Integer Programming: A Brief Introduction (2011)The value of the stochastic solution in stochastic linear programs with fixed recourse (1982)Monte Carlo (importance) sampling within a benders decomposition algorithm for stochastic linear programs (1992)Minimax analysis of stochastic problems (2002)Robust sample average approximation (2017)Linear Programming under Uncertainty (1955)Chance-Constrained Programming (1959)Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming (1986)Applying the progressive hedging algorithm to stochastic generalized networks (1991)Network planning with random demand (1994)Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Stochastic Programming Models (2003)The Aggregation Principle in Scenario Analysis and Stochastic Optimization (1989)Stability and sensitivity-analysis for stochastic programming (1990)The empirical behavior of sampling methods for stochastic programming (2006)A unified framework for stochastic optimization (2018)Optimal Design via Curve Fitting of Monte Carlo Experiments (1995)Minimax regret strategies for greenhouse gas abatement: methodology and application (1999)Generalized decision rule approximations for stochastic programming via liftings (2014)An Introductory Tutorial on Stochastic Linear Programming Models (1999)Stochastic programming approach to optimization under uncertainty (2007)
this work references cited by second hop

References

  • 2010Stochastic Linear Programming667 cited
  • 1988Numerical Techniques for Stochastic Optimization632 cited
  • 1976Stochastic Linear Programming337 cited
  • 1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse252 cited
  • 1983Stochastic Programming: Solution Techniques and Approximation Schemes205 cited
  • 2011Stochastic programming178 cited
  • 1987Stability in Two-Stage Stochastic Programming101 cited

Cited by

  • 1995On structure and stability in stochastic programs with random technology matrix and complete integer recourse86 cited
  • 2003Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse84 cited
  • 2007Structural properties of linear probabilistic constraints72 cited
  • 2007Scenario reduction in stochastic programming with respect to discrepancy distances67 cited
  • 2018Scenario reduction revisited: fundamental limits and guarantees62 cited
  • 2013Robustness of optimal portfolios under risk and stochastic dominance constraints58 cited
  • 1996Challenges in stochastic programming53 cited
  • 1996Rates of Convergence in Stochastic Programs with Complete Integer Recourse

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48 cited
  • 2015Chance-constrained problems and rare events: an importance sampling approach45 cited
  • 2007Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints44 cited
  • 2017Properties of Chance Constraints in Infinite Dimensions with an Application to PDE Constrained Optimization43 cited
  • 1994Stability Results for Stochastic Programs and Sensors, Allowing for Discontinuous Objective Functions42 cited
  • 2007Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs41 cited
  • 2007Robust stochastic programming with uncertain probabilities40 cited
  • 1995Stability in multistage stochastic programming37 cited
  • 2012Stability analysis of stochastic programs with second order dominance constraints37 cited