Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse
From MaRDI portal
Publication:5013389
DOI10.1142/S0217595920500566zbMath1481.90235OpenAlexW3112885360MaRDI QIDQ5013389
Zhiping Chen, He Hu, Jie Jiang
Publication date: 30 November 2021
Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0217595920500566
Cites Work
- Unnamed Item
- Unnamed Item
- Quantitative stability of full random two-stage stochastic programs with recourse
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- A note on uniform exponential convergence of sample average approximation of random functions
- A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
- Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
- Stability analysis for stochastic programs
- Error bounds for nondifferentiable convex inequalities under a strong Slater constraint qualification
- On the dual representation of coherent risk measures
- Two-stage stochastic variational inequalities: an ERM-solution procedure
- Quantitative stability analysis of stochastic quasi-variational inequality problems and applications
- Interchangeability principle and dynamic equations in risk averse stochastic programming
- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
- Robust two-stage stochastic linear optimization with risk aversion
- Quantitative stability of fully random two-stage stochastic programs with mixed-integer recourse
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- A multi-product risk-averse newsvendor with exponential utility function
- A model of distributionally robust two-stage stochastic convex programming with linear recourse
- Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
- Quadratic two-stage stochastic optimization with coherent measures of risk
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Stability analysis of stochastic programs with second order dominance constraints
- Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- The Sample Average Approximation Method for Stochastic Discrete Optimization
- Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems
- Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints
- Stability and Sensitivity of Stochastic Dominance Constrained Optimization Models
- Stochastic Variational Inequalities: Residual Minimization Smoothing Sample Average Approximations
- Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs
- Lectures on Stochastic Programming
- An Application of Error Bounds for Convex Programming in a Linear Space
- Optimization with Stochastic Dominance Constraints
- Convergence Analysis of Sample Average Approximation of Two-Stage Stochastic Generalized Equations
- Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse
- Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse
- Lipschitz Stability for Stochastic Programs with Complete Recourse
- Quantitative Stability Analysis of Stochastic Generalized Equations
- Regularized Two-Stage Stochastic Variational Inequalities for Cournot-Nash Equilibrium Under Uncertainty
- Two-Stage Quadratic Games under Uncertainty and Their Solution by Progressive Hedging Algorithms
- Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse
- Common Mathematical Foundations of Expected Utility and Dual Utility Theories
- Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
This page was built for publication: Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse