Robust Sensitivity Analysis for Stochastic Systems

DOI10.1287/moor.2015.0776zbMath1361.65008arXiv1303.0326OpenAlexW1693992350MaRDI QIDQ2833103

Henry Lam

Publication date: 16 November 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.0326

zbMATH Keywords

sensitivity analysisrobust optimizationKullback-Leibler divergencemodel uncertaintynonparametric

Mathematics Subject Classification ID

Related Items (35)

Calibration of Distributionally Robust Empirical Optimization Models ⋮ Learning models with uniform performance via distributionally robust optimization ⋮ The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion ⋮ Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty ⋮ Optimal Ergodic Harvesting under Ambiguity ⋮ Frameworks and results in distributionally robust optimization ⋮ Distributionally Robust Optimization with Principal Component Analysis ⋮ Confidence regions of stochastic variational inequalities: error bound approach ⋮ Subsampling to Enhance Efficiency in Input Uncertainty Quantification ⋮ Robust empirical optimization is almost the same as mean-variance optimization ⋮ Scalable information inequalities for uncertainty quantification ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty ⋮ Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance ⋮ Robustness to Incorrect System Models in Stochastic Control ⋮ Optimal Dividends Under Model Uncertainty ⋮ Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty ⋮ Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes ⋮ Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization ⋮ Optimization-Based Calibration of Simulation Input Models ⋮ Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach ⋮ A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics ⋮ Unnamed Item ⋮ Robust Actuarial Risk Analysis ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach ⋮ Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities ⋮ Robust quantile estimation under bivariate extreme value models ⋮ Quantifying Distributional Model Risk via Optimal Transport ⋮ Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees ⋮ Variance Regularization in Sequential Bayesian Optimization ⋮ Robustness to Incorrect Priors in Partially Observed Stochastic Control ⋮ Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy ⋮ Formulation and properties of a divergence used to compare probability measures without absolute continuity ⋮ Toward theoretical understandings of robust Markov decision processes: sample complexity and asymptotics

Uses Software

• ROME

Cites Work

• Unnamed Item
• Unnamed Item
• Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index
• Tractable stochastic analysis in high dimensions via robust optimization
• Performance analysis approximation in a queueing system of type \(M/G/1\)
• On the optimality of threshold control in queues with model uncertainty
• Unbiased Estimation with Square Root Convergence for SDE Models
• Robust risk measurement and model risk
• Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Series Expansions for Continuous-Time Markov Processes
• Distributionally Robust Optimization and Its Tractable Approximations
• Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
• The Influence Curve and Its Role in Robust Estimation
• The Maclaurin series for performance functions of Markov chains
• Taylor series expansions for stationary Markov chains
• Minimax optimal control of stochastic uncertain systems with relative entropy constraints
• A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations
• On the Optimum Rate of Transmitting Information
• Estimation of Entropy and Mutual Information
• Probabilistic Sensitivity Analysis of Complex Models: A Bayesian Approach
• Robust Portfolio Control with Stochastic Factor Dynamics
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS
• Sensitivity and convergence of uniformly ergodic Markov chains
• Perturbation theory and finite Markov chains
• Robust Dynamic Programming
• On Information and Sufficiency
• A new look at the statistical model identification

This page was built for publication: Robust Sensitivity Analysis for Stochastic Systems