Robust stochastic optimization with convex risk measures: a discretized subgradient scheme
type: Item
instance of: scholarly article
title: Robust stochastic optimization with convex risk measures: a discretized subgradient scheme
zbMATH Open document ID: 1474.90308
author: Yanyan Li
published in: Journal of Industrial and Management Optimization
publication date: 2021-06-09T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C47
Mathematics Subject Classification ID: 90C17
zbMATH DE Number: 7356870
zbMATH Keywords: stochastic optimization
zbMATH Keywords: distributionally robust
zbMATH Keywords: convex risk measure
zbMATH Keywords: subgradient method
zbMATH Keywords: two-stage optimization problem
MaRDI profile type: Publication
full work available at URL: jimo.2019100
OpenAlex ID: W2978562669
cites work: Entropic value-at-risk: a new coherent risk measure
cites work: Two-stage stochastic linear programs with incomplete information on uncertainty
cites work: On the dual representation of coherent risk measures
cites work: Q3452586
cites work: Q4830373
cites work: Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
cites work: Ambiguous Risk Measures and Optimal Robust Portfolios
cites work: Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
cites work: Stochastic finance. An introduction in discrete time
cites work: Robust two-stage stochastic linear programs with moment constraints
cites work: The ellipsoid method and its consequences in combinatorial optimization
cites work: A model of distributionally robust two-stage stochastic convex programming with linear recourse
cites work: A class of two-stage distributionally robust games
cites work: Robust tracking error portfolio selection with worst-case downside risk measures
cites work: Robust two-stage stochastic linear optimization with risk aversion
cites work: Convex risk measures for portfolio optimization and concepts of flexibility
cites work: Models and algorithms for distributionally robust least squares problems
cites work: Moments of non-negative mass
cites work: On a Class of Minimax Stochastic Programs
cites work: Lectures on Stochastic Programming
cites work: On general minimax theorems
cites work: Quadratic two-stage stochastic optimization with coherent measures of risk
cites work: Distributionally Robust Convex Optimization
DOI: 10.3934/JIMO.2019100
description: scientific article; zbMATH DE number 7356870