Weak Continuity of Risk Functionals with Applications to Stochastic Programming

DOI10.1137/15M1048689zbMath1356.90094arXiv1611.08434MaRDI QIDQ2957978

Volker Krätschmer, Rüdiger Schultz, Matthias Claus

Publication date: 31 January 2017

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.08434

zbMATH Keywords

stabilitystochastic programmingrisk functionalsmean risk models

Mathematics Subject Classification ID

Related Items (9)

A concept of copula robustness and its applications in quantitative risk management ⋮ Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models ⋮ Statistical robustness in utility preference robust optimization models ⋮ A note on stability for risk-averse stochastic complementarity problems ⋮ On risk-averse stochastic semidefinite programs with continuous recourse ⋮ Risk-Averse Models in Bilevel Stochastic Linear Programming ⋮ Statistical robustness of two-stage stochastic variational inequalities ⋮ Bilevel Linear Optimization Under Uncertainty ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Comparative and qualitative robustness for law-invariant risk measures
• Qualitative and infinitesimal robustness of tail-dependent statistical functionals
• Continuity of the optimal value function and optimal solutions of parametric mixed-integer quadratic programs
• A definition of qualitative robustness for general point estimators, and examples
• Quantitative stability of fully random mixed-integer two-stage stochastic programs
• The value function of a mixed integer program: I
• Stochastic programming with integer variables
• Quasi-Hadamard differentiability of general risk functionals and its application
• Domains of weak continuity of statistical functionals with a view toward robust statistics
• On deviation measures in stochastic integer programming
• Lifting projections of convex polyhedra
• Conditional value-at-risk in stochastic programs with mixed-integer recourse
• Coherent Measures of Risk
• Mathematical Risk Analysis
• Risk Averse Shape Optimization
• Stability of Solutions for Stochastic Programs with Complete Recourse
• Continuity and Stability of a Quadratic Mixed-Integer Stochastic Program
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Stability in Two-Stage Stochastic Programming
• Global Regularity Theorems
• Quantitative Stability of Variational Systems: I. The Epigraphical Distance
• Asymptotic Statistics
• Variational Analysis
• Another Proof that Convex Functions are Locally Lipschitz
• Central Limit Theorems for Law-Invariant Coherent Risk Measures
• Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
• Stochastic finance. An introduction in discrete time

This page was built for publication: Weak Continuity of Risk Functionals with Applications to Stochastic Programming