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Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
16 references·2 citing·41 second hop
Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs (2007)Stability of $\varepsilon$-approximate So…A note on scenario reduction for two-stage stochastic programs (2007)A note on scenario reduction …Stability of Multistage Stochastic Programs (2006)Stability of Multistage Stoch…Polyhedral Risk Measures in Stochastic Programming (2005)Polyhedral Risk Measures in S…Stochastic Optimization and Statistical Inference (2003)Stochastic Optimization and S…Stability of Stochastic Programming Problems (2003)Stability of Stochastic Progr…Scenario reduction in stochastic programming (2003)Scenario reduction in stochas…Monte Carlo Sampling Methods (2003)Monte Carlo Sampling MethodsQuantitative Stability in Stochastic Programming: The Method of Probability Metrics (2002)Quantitative Stability in Sto…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Scenario reduction in stochastic programming: An approach using probability metrics (2000)Scenario reduction in stochas…Challenges in stochastic programming (1996)Challenges in stochastic prog…Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems (1995)Probabilistic bounds (via lar…Quantitative stability in stochastic programming (1994)Quantitative stability in sto…Stability analysis for stochastic programs (1991)Stability analysis for stocha…Stability in Two-Stage Stochastic Programming (1987)Stability in Two-Stage Stocha…Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program (1974)Stochastic Programs with Fixe…Scenario reduction for stochastic programs with Conditional Value-at-Risk (2018)Scenario reduction for stocha…Variational Theory for Optimization under Stochastic Ambiguity (2017)Variational Theory for Optimi…Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Bayesian Analysis of DSGE Models (2007)Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications (2009)Frameworks and Results in Distributionally Robust Optimization (2022)Stochastic Programming (1995)Coherent Measures of Risk (1999)Stochastic programming with integer variables (2003)Scenario tree reduction for multistage stochastic programs (2008)Linear Programming under Uncertainty (1955)Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse (1986)A simulation-based approach to two-stage stochastic programming with recourse (1998)A finite branch-and-bound algorithm for two-stage stochastic integer programs (2004)Linear Programming Under Uncertainty (2004)Mass Transportation Problems (1998)Scenario Reduction Algorithms 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)Robust Preferences and Robust Portfolio Choice (2009)Stochastic Programming (2010)Evaluating policies in risk-averse multi-stage stochastic programming (2014)Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)New methods in statistical economics (1997)Stable Paretian Models in Finance (2000)Stochastic Integer Programming (2003)A simple heuristic for reducing the number of scenarios in two-stage stochastic programming (2009)Stochastic Linear Programming (2010)PORTFOLIO SELECTION* (1952)Optimization of conditional value-at-risk (2000)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Scenario tree modeling for multistage stochastic programs (2007)Marrying supply chain sustainability and resilience: A match made in heaven (2016)A unified framework for stochastic optimization (2018)Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design (2013)An empirical analysis of scenario generation methods for stochastic optimization (2016)China’s non-fossil energy development and its 2030 CO2 reduction targets: The role of urbanization (2019)Evaluation of scenario-generation methods for stochastic programming (2003)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)
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References

  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2003Scenario reduction in stochastic programming1,045 cited
  • 2003Monte Carlo Sampling Methods916 cited
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1996
Challenges in stochastic programming
53 cited

Cited by

  • 2018Scenario reduction for stochastic programs with Conditional Value-at-Risk41 cited
  • 2017Variational Theory for Optimization under Stochastic Ambiguity37 cited