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Scenario reduction for stochastic programs with Conditional Value-at-Risk
16 references·0 citing·24 second hop
Scenario reduction for stochastic programs with Conditional Value-at-Risk (2018)Scenario reduction for stochastic program…Lectures on Stochastic Programming: Modeling and Theory, Second Edition (2014)Lectures on Stochastic Progra…Risk-averse two-stage stochastic programming with an application to disaster management (2011)Risk-averse two-stage stochas…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…The empirical behavior of sampling methods for stochastic programming (2006)The empirical behavior of sam…Linear Programming Under Uncertainty (2004)Linear Programming Under Unce…Scenario reduction in stochastic programming (2003)Scenario reduction in stochas…Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario Reduction Algorithms…A Heuristic for Moment-Matching Scenario Generation (2003)A Heuristic for Moment-Matchi…Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Scenarios for Multistage Stochastic Programs (2000)Scenarios for Multistage Stoc…Scenario reduction in stochastic programming: An approach using probability metrics (2000)Scenario reduction in stochas…Optimization of conditional value-at-risk (2000)Optimization of conditional v…A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Comparison of Three Methods…Coherent Measures of Risk (1999)Coherent Measures of RiskLinear Programming under Uncertainty (1955)Linear Programming under Unce…A Stochastic Approximation Method (1951)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Portfolio Selection: Efficient Diversification of Investments (1959)Exceptional Paper—Probability Encoding in Decision Analysis (1975)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)A framework for sensitivity analysis of decision trees (2017)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Evaluation of scenario-generation methods for stochastic programming (2003)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)A review of techniques for parameter sensitivity analysis of environmental models (1994)Importance measures in global sensitivity analysis of nonlinear models (1996)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Optimization under uncertainty: state-of-the-art and opportunities (2003)A two-stage stochastic programming framework for transportation planning in disaster response (2004)Monte Carlo bounding techniques for determining solution quality in stochastic programs (1999)
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References

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  • 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code8,233 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2011Introduction to Stochastic Programming6,469 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
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  • 2014Lectures on Stochastic Programming: Modeling and Theory, Second Edition578 cited
  • 2000Scenario reduction in stochastic programming: An approach using probability metrics512 cited
  • 2000Scenarios for Multistage Stochastic Programs471 cited
  • 2006The empirical behavior of sampling methods for stochastic programming426 cited
  • 2003A Heuristic for Moment-Matching Scenario Generation404 cited
  • 2011

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Risk-averse two-stage stochastic programming with an application to disaster management
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