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Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
2 references·6 citing·30 second hop
Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem (1987)Computing Bounds for Stochastic Programmi…Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse (1986)Designing approximation schem…Solving Stochastic Programming Problems with Recourse Including Error Bounds (1982)Solving Stochastic Programmin…Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees (2019)Robust Analysis in Stochastic…Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models (2019)Decomposition algorithm for d…Robust stochastic programming with uncertain probabilities (2007)Robust stochastic programming…Algorithms for the solution of stochastic dynamic minimax problems (1995)Algorithms for the solution o…Sublinear upper bounds for stochastic programs with recourse (1989)Sublinear upper bounds for st…A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs (1988)A Separable Piecewise Linear …Inequalities for Stochastic Linear Programming Problems (1960)Stochastic Linear Programming (1976)Deterministic approximations of probability inequalities (1989)Distribution sensitivity in stochastic programming (1991)Planning under uncertainty solving large-scale stochastic linear programs (1992)Stochastic Linear Programming (2010)Solving stochastic programs with simple recourse (1983)A Bank Asset and Liability Management Model (1986)Challenges in stochastic programming (1996)Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program (1974)Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Chapter VIII Stochastic programming (1989)Numerical Techniques for Stochastic Optimization (1988)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Robust two-stage stochastic linear optimization with risk aversion (2016)The Price of Robustness (2004)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)Robust Optimization (2009)Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index (2009)Theory and Applications of Robust Optimization (2010)Robust Convex Optimization (1998)Robust solutions of uncertain linear programs (1999)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes (2021)Global Sensitivity Analysis via Optimal Transport (2024)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)
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References

  • 1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse252 cited
  • 1982Solving Stochastic Programming Problems with Recourse Including Error Bounds83 cited

Cited by

  • 1989Sublinear upper bounds for stochastic programs with recourse63 cited
  • 2019Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models58 cited
  • 1988A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs54 cited
  • 2019Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees42 cited
  • 2007Robust stochastic programming with uncertain probabilities40 cited
  • 1995Algorithms for the solution of stochastic dynamic minimax problems40 cited

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