Worst-case distribution analysis of stochastic programs
From MaRDI portal
Publication:2492684
DOI10.1007/s10107-005-0680-6zbMath1149.90112OpenAlexW2022629562WikidataQ97756096 ScholiaQ97756096MaRDI QIDQ2492684
Publication date: 14 June 2006
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-005-0680-6
Related Items
Robust reward–risk ratio optimization with application in allocation of generation asset ⋮ A General Model and Efficient Algorithms for Reliable Facility Location Problem Under Uncertain Disruptions ⋮ A Measure Approximation for Distributionally Robust PDE-Constrained Optimization Problems ⋮ Distributionally robust scheduling on parallel machines under moment uncertainty ⋮ Distributionally robust single machine scheduling with risk aversion ⋮ Stochastic programming approach to optimization under uncertainty ⋮ Distributionally robust optimization. A review on theory and applications ⋮ Environmental game modeling with uncertainties ⋮ Uncertainties in minimax stochastic programs ⋮ An active-set strategy to solve Markov decision processes with good-deal risk measure
Cites Work
- A numerical method for solving stochastic programming problems with moment constraints on a distribution function
- The uniform distribution: A rigorous justification for its use in robustness analysis
- On substantiation of the principle of uniformity in the problem of optimization of the probabilistic performance
- On the worst-case distribution in stochastic optimization problems with probability function
- Ambiguous chance constrained problems and robust optimization
- Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
- Minimax analysis of stochastic problems
- The minimax approach to stochastic programming and an illustrative application
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
