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Tree Approximations of Dynamic Stochastic Programs
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Tree Approximations of Dynamic Stochastic Programs (2007)Tree Approximations of Dynamic Stochastic…Subdifferential representations of risk measures (2006)Subdifferential representatio…Stability of Multistage Stochastic Programs (2006)Stability of Multistage Stoch…On distortion functionals (2006)On distortion functionalsFinancial scenario generation for stochastic multi-stage decision processes as facility location problems (2006)Financial scenario generation…Epi-Convergent Discretizations of Multistage Stochastic Programs (2005)Epi-Convergent Discretization…Scenario tree generation for multiperiod financial optimization by optimal discretization (2001)Scenario tree generation for …Conditional Value-at-Risk: Optimization Approach (2001)Conditional Value-at-Risk: Op…Coherent Measures of Risk (1999)Coherent Measures of RiskOptimization of Stochastic Models: The Interface Between Simulation and Optimization (1998)Optimization of Stochastic Mo…Optimization of Stochastic Models (1996)Optimization of Stochastic Mo…Production and Operations Analysis (1992)Production and Operations Ana…Discretizations of multistage stochastic programming problems (1976)Discretizations of multistage…Mass Transportation Problems (1998)Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario reduction in stochastic programming (2003)Approximations for Probability Distributions and Stochastic Optimization Problems (2011)Optimal scenario reduction framework based on distance of uncertainty distribution and output performance: I. Single reduction via mixed integer linear optimization (2014)A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice (2019)Worldwide asset and liability modeling (1998)ESSENTIALS OF STOCHASTIC FINANCE (2000)Stochastic Programming Models (2003)Scenario tree modelling for multistage stochastic programs (2006)Epi-convergent discretizations of multistage stochastic programs via integration quadratures (2007)Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules (2011)Moment Methods for Decision Analysis (1993)Certainty Equivalents for Three-Point Discrete-Distribution Approximations (1994)A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty (2003)Scenario tree modeling for multistage stochastic programs (2007)Introduction to Stochastic Programming (2011)Stochastic dual dynamic integer programming (2018)Optimization of conditional value-at-risk (2000)Scenario tree generation approaches using K-means and LP moment matching methods (2012)An empirical analysis of scenario generation methods for stochastic optimization (2016)PORTFOLIO SELECTION* (1952)Frontiers of Stochastically Nondominated Portfolios (2003)Robust Optimization for Unconstrained Simulation-Based Problems (2009)The Axiomatic Approach to Risk Measures for Capital Determination (2015)Conditional value-at-risk for general loss distributions (2002)Evaluations of Risk Measures for Different Probability Measures (2013)Premiums and reserves, adjusted by distortions (2013)Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments (2003)Group Buying on the Web: A Comparison of Price-Discovery Mechanisms (2003)Quality Improvement Incentives and Product Recall Cost Sharing Contracts (2009)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization (2004)A Sequential Sampling Procedure for Stochastic Programming (2011)Simulation optimization: a review of algorithms and applications (2014)Chapter 19 Gradient Estimation (2006)Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data (2015)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1992Production and Operations Analysis1,213 cited
  • 2001Scenario tree generation for multiperiod financial optimization by optimal discretization337 cited
  • 1996Optimization of Stochastic Models258 cited
  • 1998Optimization of Stochastic Models: The Interface Between Simulation and Optimization195 cited
  • 2006Financial scenario generation for stochastic multi-stage decision processes as facility location problems153 cited
  • 2001Conditional Value-at-Risk: Optimization Approach153 cited
  • 2006Stability of Multistage Stochastic Programs132 cited
  • 2005Epi-Convergent Discretizations of Multistage Stochastic Programs64 cited
  • 2006On distortion functionals46 cited
  • 1976Discretizations of multistage stochastic programming problems43 cited
  • 2006Subdifferential representations of risk measures38 cited

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