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Dynamic Stochastic Optimization
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Dynamic Stochastic Optimization (2004)Dynamic Stochastic OptimizationStochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks (2000)Stochastic Optimization of In…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Differentiability of probability function (1998)Differentiability of probabil…Stochastic Programming (1995)Stochastic ProgrammingDifferentiation of probability functions: The transformation method (1995)Differentiation of probabilit…Derivatives of probability functions and some applications (1995)Derivatives of probability fu…Risk Theory: The Stochastic Basis of Insurance. (1978)Risk Theory: The Stochastic B…Bounds in Multistage Linear Stochastic Programming (2013)Bounds in Multistage Linear S…Systemic Risk and Security Management (2011)Systemic Risk and Security Ma…Optimal control of dynamical systems and structures under stochastic uncertainty (2010)Optimal control of dynamical …Mathematical Methods in Risk Theory (1970)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Asset-liability management for Czech pension funds using stochastic programming (2008)Chance-constrained problems and rare events: an importance sampling approach (2015)Eventual convexity of probability constraints with elliptical distributions (2018)Applied Statistical Decision Theory (1962)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)Bounds and Approximations for Multistage Stochastic Programs (2016)A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches (2017)Gradient Estimation via Perturbation Analysis (1991)Methods for Structural Reliability Computations (1991)Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions (2014)Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk (2016)An Inner-Outer Approximation Approach to Chance Constrained Optimization (2017)Stochastic Linear Programming (1976)Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints (2007)A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution (2012)Introduction to Stochastic Control Theory (1970)Structural Reliability Theory and Its Applications (1982)Stochastic Linear Programming (2010)Properties of Chance Constraints in Infinite Dimensions with an Application to PDE Constrained Optimization (2017)Structural Reliability Analysis and Prediction (2017)Robust Optimization of Large-Scale Systems (1995)A stochastic method for claims reserving in general insurance (1990)Statistical motor rating: making effective use of your data (1992)Decompounding: an estimation problem for Poisson random sums (2003)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)Optimization under uncertainty: state-of-the-art and opportunities (2003)Adjustable robust solutions of uncertain linear programs (2004)Lectures on Stochastic Programming: Modeling and Theory (2009)
this work references cited by second hop

References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1995Stochastic Programming1,539 cited
  • 1978Risk Theory: The Stochastic Basis of Insurance.118 cited
  • 1995Derivatives of probability functions and some applications103 cited
  • 2000Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks90 cited
  • 1995Differentiation of probability functions: The transformation method46 cited
  • 1998Differentiability of probability function38 cited

Cited by

  • 2013Bounds in Multistage Linear Stochastic Programming55 cited
  • 2011Systemic Risk and Security Management41 cited
  • 2010Optimal control of dynamical systems and structures under stochastic uncertainty18 cited

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