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Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
16 references·1 citing·33 second hop
Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming (2020)Tutorial on risk neutral, distributionall…Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Robust Dynamic Programming (2005)Robust Dynamic ProgrammingRobust Control of Markov Decision Processes with Uncertain Transition Matrices (2005)Robust Control of Markov Deci…A Min-Max Solution of an Inventory Problem (2005)A Min-Max Solution of an Inve…Linear Programming Under Uncertainty (2004)Linear Programming Under Unce…Adjustable robust solutions of uncertain linear programs (2004)Adjustable robust solutions o…Adjustable robust solutions of uncertain linear programs (2004)Adjustable robust solutions o…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Decomposition and Partitionin…Stationary Ordinal Utility and Impatience (1960)Stationary Ordinal Utility an…Linear Programming under Uncertainty (1955)Linear Programming under Unce…Logistics and Supply Chain Management (2024)Logistics and Supply Chain Ma…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)Stochastic Programming (1995)Robust Convex Optimization (1998)Robust solutions of uncertain linear programs (1999)Distributionally Robust Optimization and Its Tractable Approximations (2010)A practical guide to robust optimization (2015)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Maxmin expected utility with non-unique prior (1989)Introduction to Stochastic Programming (2011)Recent advances in robust optimization: An overview (2013)Data-driven robust optimization (2017)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Conditional value-at-risk for general loss distributions (2002)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)Theory and Applications of Robust Optimization (2010)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Optimal Taxation of Capital Income in General Equilibrium with Infinite Lives (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Handbook of Emotions (1993)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)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 1960Stationary Ordinal Utility and Impatience1,550 cited
  • 2004Adjustable robust solutions of uncertain linear programs1,428 cited
  • 1955Linear Programming under Uncertainty1,227 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2004Linear Programming Under Uncertainty1,173 cited
  • 2014Distributionally Robust Convex Optimization952 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2004Adjustable robust solutions of uncertain linear programs833 cited
  • 2005Robust Control of Markov Decision Processes with Uncertain Transition Matrices700 cited
  • 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs588 cited
  • 2005Robust Dynamic Programming579 cited
  • 2005A Min-Max Solution of an Inventory Problem552 cited

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  • 2024Logistics and Supply Chain Management29 cited