Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Stability of Multistage Stochastic Programs - MaRDI portal

Stability of Multistage Stochastic Programs

From MaRDI portal
Publication:3440220

DOI10.1137/050632865zbMath1165.90582OpenAlexW1971451499MaRDI QIDQ3440220

Holger Heitsch, Werner Römisch, Cyrille Strugarek

Publication date: 22 May 2007

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

Full work available at URL: https://semanticscholar.org/paper/31ec9e1fad84322fa4fdcf4d783d2f0c08cb8fa4



Related Items

A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem, The nested Sinkhorn divergence to learn the nested distance, Frameworks and results in distributionally robust optimization, On complexity of multistage stochastic programs under heavy tailed distributions, Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts, Unnamed Item, Stochastic dual dynamic integer programming, Energy contracts management by stochastic programming techniques, Stability of multistage stochastic programs incorporating polyhedral risk measures, An Efficient Gradient Projection Method for Stochastic Optimal Control Problems, Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management, Scenario Tree Generation for Multi-stage Stochastic Programs, Approximations for Probability Distributions and Stochastic Optimization Problems, Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization, Two-stage portfolio optimization with higher-order conditional measures of risk, A note on scenario reduction for two-stage stochastic programs, Epi-convergent discretizations of multistage stochastic programs via integration quadratures, SDDP for multistage stochastic linear programs based on spectral risk measures, Numerical evaluation of approximation methods in stochastic programming, On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. I: Theory, Incremental-like bundle methods with application to energy planning, Scenario tree reduction for multistage stochastic programs, Testing the structure of multistage stochastic programs, Decomposition of large-scale stochastic optimal control problems, Stochastic decomposition applied to large-scale hydro valleys management, Solution sensitivity-based scenario reduction for stochastic unit commitment, Stochastic programming approach to optimization under uncertainty, Stochastic multi-objective optimization: a survey on non-scalarizing methods, Adaptive discretization of convex multistage stochastic programs, Quantitative stability of multistage stochastic programs via calm modifications, Scenario tree modeling for multistage stochastic programs, On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems, Airline network revenue management by multistage stochastic programming, Convergent bounds for stochastic programs with expected value constraints, Bias Reduction in Sample-Based Optimization, Tree approximation for discrete time stochastic processes: a process distance approach, On distributionally robust multiperiod stochastic optimization, A stability result for linear Markovian stochastic optimization problems, Unnamed Item, Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk, Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming