Chen, Zhiping; Ma, Wentao A Bayesian approach to data-driven multi-stage stochastic optimization. (English) Zbl 07925623 J. Glob. Optim. 90, No. 2, 401-428 (2024). MSC: 90Cxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Kannan, Rohit; Bayraksan, Güzin; Luedtke, James R. Residuals-based distributionally robust optimization with covariate information. (English) Zbl 07915919 Math. Program. 207, No. 1-2 (A), 369-425 (2024). MSC: 90C15 90C47 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhao, Leyang; Li, Guoyin; Penev, Spiridon Regularized distributionally robust optimization with application to the index tracking problem. (English) Zbl 07881819 Ann. Oper. Res. 337, No. 1, 397-424 (2024). MSC: 90Cxx 62Jxx 91Gxx × Cite Format Result Cite Review PDF Full Text: DOI
Kim, Seokwoo; Choi, Dong Gu A sample robust optimal bidding model for a virtual power plant. (English) Zbl 07874506 Eur. J. Oper. Res. 316, No. 3, 1101-1113 (2024). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI
Petturiti, Davide; Vantaggi, Barbara The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model. (English) Zbl 07865831 Eur. J. Oper. Res. 314, No. 3, 1029-1039 (2024). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI
Hsieh, Chung-Han On solving robust log-optimal portfolio: a supporting hyperplane approximation approach. (English) Zbl 07865027 Eur. J. Oper. Res. 313, No. 3, 1129-1139 (2024). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Jiang, Jie; Peng, Shen Mathematical programs with distributionally robust chance constraints: statistical robustness, discretization and reformulation. (English) Zbl 07864993 Eur. J. Oper. Res. 313, No. 2, 616-627 (2024). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI
Gupta, Aparna; Palepu, Sai Designing risk-free service for renewable wind and solar resources. (English) Zbl 07864434 Eur. J. Oper. Res. 315, No. 2, 715-728 (2024). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI
van Beesten, E. Ruben; Romeijnders, Ward; Morton, David P. Pragmatic distributionally robust optimization for simple integer recourse models. (English) Zbl 07852088 SIAM J. Optim. 34, No. 2, 1755-1783 (2024). MSC: 90C15 90C17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bäuerle, Nicole; Jaśkiewicz, Anna Markov decision processes with risk-sensitive criteria: an overview. (English) Zbl 07849992 Math. Methods Oper. Res. 99, No. 1-2, 141-178 (2024). MSC: 90C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Seranilla, Bonn Kleiford; Löhndorf, Nils Optimizing vaccine distribution in developing countries under natural disaster risk. (English) Zbl 1534.90077 Nav. Res. Logist. 71, No. 1, 140-157 (2024). MSC: 90B80 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Khanjani Shiraz, Rashed; Hosseini Nodeh, Zohreh; Babapour-Azar, Ali; Römer, Michael; Pardalos, Panos M. Distributionally robust joint chance-constrained programming: Wasserstein metric and second-order moment constraints. (English) Zbl 1539.90049 Inf. Sci. 654, Article ID 119812, 16 p. (2024). MSC: 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Kang, Sumin; Bansal, Manish Distributionally risk-receptive and risk-averse network interdiction problems with general ambiguity set. (English) Zbl 1529.90022 Networks 81, No. 1, 3-22 (2023). MSC: 90B15 90C15 90C35 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Chen, Dali; Wu, Yuwei; Li, Jingquan; Ding, Xiaohui; Chen, Caihua Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric. (English) Zbl 1528.90295 J. Glob. Optim. 87, No. 2-4, 783-805 (2023). MSC: 90C90 90C15 90C26 × Cite Format Result Cite Review PDF Full Text: DOI
Hooshmand, F.; Anoushirvani, Z.; MirHassani, S. A. Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure. (English) Zbl 07744766 Int. Trans. Oper. Res. 30, No. 5, 2665-2690 (2023). MSC: 90-XX × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Jinkyu; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang Large-scale financial planning via a partially observable stochastic dual dynamic programming framework. (English) Zbl 1522.91229 Quant. Finance 23, No. 9, 1341-1360 (2023). MSC: 91G10 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Dommel, Paul; Pichler, Alois Dynamic programming for data independent decision sets. (English) Zbl 1522.90047 J. Convex Anal. 30, No. 3, 897-916 (2023). MSC: 90C15 60G07 90C05 × Cite Format Result Cite Review PDF Full Text: Link
Nadarajah, Selvaprabu; Secomandi, Nicola A review of the operations literature on real options in energy. (English) Zbl 07709215 Eur. J. Oper. Res. 309, No. 2, 469-487 (2023). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Guigues, Vincent; Shapiro, Alexander; Cheng, Yi Duality and sensitivity analysis of multistage linear stochastic programs. (English) Zbl 07709202 Eur. J. Oper. Res. 308, No. 2, 752-767 (2023). MSC: 90C15 90C90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kraft, Emil; Russo, Marianna; Keles, Dogan; Bertsch, Valentin Stochastic optimization of trading strategies in sequential electricity markets. (English) Zbl 07709117 Eur. J. Oper. Res. 308, No. 1, 400-421 (2023). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI Link
Büyüktahtakın, İ. Esra Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems. (English) Zbl 1542.90163 Comput. Oper. Res. 153, Article ID 106149, 16 p. (2023). MSC: 90C15 90C11 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Pflug, Georg Ch. Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling. (English) Zbl 1541.90262 Eur. J. Oper. Res. 306, No. 3, 1027-1039 (2023). MSC: 90C15 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Fuhrmann, Sven; Kupper, Michael; Nendel, Max Wasserstein perturbations of Markovian transition semigroups. (English) Zbl 1516.60045 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 2, 904-932 (2023). MSC: 60J35 47H20 60G65 62G35 90C31 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Borges, Pedro; Sagastizábal, Claudia; Solodov, Mikhail; Tomasgard, Asgeir A distributionally ambiguous two-stage stochastic approach for investment in renewable generation. (English) Zbl 1518.90056 Eur. J. Appl. Math. 34, No. 3, 484-504 (2023). MSC: 90C15 65K05 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Zhongming; Sun, Kexin Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty. (English) Zbl 1510.91155 Appl. Math. Modelling 117, 513-528 (2023). MSC: 91G10 49Q22 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Birghila, Corina; Boonen, Tim J.; Ghossoub, Mario Optimal insurance under maxmin expected utility. (English) Zbl 1517.91187 Finance Stoch. 27, No. 2, 467-501 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 90C90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ma, Qing; Wang, Yanjun Distributionally robust chance constrained SVM model with \(\ell_2\)-Wasserstein distance. (English) Zbl 1538.90091 J. Ind. Manag. Optim. 19, No. 2, 916-931 (2023). MSC: 90C15 90C11 × Cite Format Result Cite Review PDF Full Text: DOI
Nie, Jiawang; Yang, Liu; Zhong, Suhan; Zhou, Guangming Distributionally robust optimization with moment ambiguity sets. (English) Zbl 1509.90142 J. Sci. Comput. 94, No. 1, Paper No. 12, 27 p. (2023). MSC: 90C23 90C17 90C22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Black, Ben; Ainslie, Russell; Dokka, Trivikram; Kirkbride, Christopher Distributionally robust resource planning under binomial demand intakes. (English) Zbl 1541.90141 Eur. J. Oper. Res. 306, No. 1, 227-242 (2023). MSC: 90B35 90C11 90C17 90C31 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Ren, Ke; Bidkhori, Hoda A study of data-driven distributionally robust optimization with incomplete joint data under finite support. (English) Zbl 1541.90263 Eur. J. Oper. Res. 305, No. 2, 754-765 (2023). MSC: 90C15 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Sun, Hailin; Zhang, Dali; Wu, Soon-Yi; Chen, Liang A modified exchange algorithm for distributional robust optimization and applications in risk management. (English) Zbl 07769610 Int. Trans. Oper. Res. 29, No. 1, 130-157 (2022). MSC: 90-XX × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Wenhao; Zhang, Liangyu; Zhang, Zhihua Toward theoretical understandings of robust Markov decision processes: sample complexity and asymptotics. (English) Zbl 1539.68286 Ann. Stat. 50, No. 6, 3223-3248 (2022). MSC: 68T05 62C05 62G05 90C17 90C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Liu, Jia; Lisser, Abdel; Chen, Zhiping Distributionally robust chance constrained geometric optimization. (English) Zbl 1510.90198 Math. Oper. Res. 47, No. 4, 2950-2988 (2022). MSC: 90C17 90C25 90C30 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Wei; Yang, Li; Yu, Bo Kernel density estimation based distributionally robust mean-CVaR portfolio optimization. (English) Zbl 1505.90092 J. Glob. Optim. 84, No. 4, 1053-1077 (2022). MSC: 90C17 90C25 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Yue, Man-Chung; Kuhn, Daniel; Wiesemann, Wolfram On linear optimization over Wasserstein balls. (English) Zbl 1504.90097 Math. Program. 195, No. 1-2 (A), 1107-1122 (2022). MSC: 90C25 90C05 90C17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bertsimas, Dimitris; Van Parys, Bart Bootstrap robust prescriptive analytics. (English) Zbl 1504.90076 Math. Program. 195, No. 1-2 (A), 39-78 (2022). MSC: 90C15 90C17 90C25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Klæboe, Gro; Braathen, Jørgen; Eriksrud, Anders Lund; Fleten, Stein-Erik Day-ahead market bidding taking the balancing power market into account. (English) Zbl 1504.90082 Top 30, No. 3, 683-703 (2022). MSC: 90C15 91B26 91B74 × Cite Format Result Cite Review PDF Full Text: DOI
Rebennack, Steffen Data-driven stochastic optimization for distributional ambiguity with integrated confidence region. (English) Zbl 1501.90057 J. Glob. Optim. 84, No. 2, 255-293 (2022). MSC: 90C15 90C17 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Saif, Ahmed; Madani, Nazanin Robust design of service systems with immobile servers under demand uncertainty. (English) Zbl 1520.90161 Comput. Oper. Res. 148, Article ID 105965, 13 p. (2022). MSC: 90B80 90B22 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Lauria, Davide; Consigli, Giorgio; Maggioni, Francesca Optimal chance-constrained pension fund management through dynamic stochastic control. (English) Zbl 1498.91363 OR Spectrum 44, No. 3, 967-1007 (2022). MSC: 91G05 93E20 90C22 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Rahimian, Hamed; Mehrotra, Sanjay Frameworks and results in distributionally robust optimization. (English) Zbl 1492.90109 OJMO, Open J. Math. Optim. 3, Article No. 4, 85 p. (2022). MSC: 90C15 90C17 90C22 90C25 90C30 90C34 90C90 68T37 68T05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Duque, Daniel; Mehrotra, Sanjay; Morton, David P. Distributionally robust two-stage stochastic programming. (English) Zbl 1496.90043 SIAM J. Optim. 32, No. 3, 1499-1522 (2022). MSC: 90C15 49M27 49N15 × Cite Format Result Cite Review PDF Full Text: DOI
Ávila, D.; Papavasiliou, A.; Löhndorf, N. Parallel and distributed computing for stochastic dual dynamic programming. (English) Zbl 07557208 ; correction ibid. 19, No. 2, 227-228 (2022). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Tsang, Man Yiu; Sit, Tony; Wong, Hoi Ying Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty. (English) Zbl 1489.91240 Appl. Math. Optim. 86, No. 1, Paper No. 8, 29 p. (2022). MSC: 91G10 90C15 62H20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Imai, Junichi A numerical method for hedging Bermudan options under model uncertainty. (English) Zbl 1489.91265 Methodol. Comput. Appl. Probab. 24, No. 2, 893-916 (2022). MSC: 91G20 91G60 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Pan, Kai; Guan, Yongpei Integrated stochastic optimal self-scheduling for two-settlement electricity markets. (English) Zbl 07552236 INFORMS J. Comput. 34, No. 3, 1819-1840 (2022). MSC: 90-XX × Cite Format Result Cite Review PDF Full Text: DOI
Noyan, Nilay; Rudolf, Gábor; Lejeune, Miguel Distributionally robust optimization under a decision-dependent ambiguity set with applications to machine scheduling and Humanitarian logistics. (English) Zbl 07551207 INFORMS J. Comput. 34, No. 2, 729-751 (2022). MSC: 90-XX × Cite Format Result Cite Review PDF Full Text: DOI Link
Guo, Shaoyan; Xu, Huifu Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach. (English) Zbl 1494.90059 Math. Program. 194, No. 1-2 (A), 305-340 (2022). MSC: 90C15 90C47 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Borges, Pedro Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS. (English) Zbl 1494.90057 Comput. Optim. Appl. 82, No. 3, 617-647 (2022). MSC: 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Milz, Johannes; Ulbrich, Michael An approximation scheme for distributionally robust PDE-constrained optimization. (English) Zbl 1493.90120 SIAM J. Control Optim. 60, No. 3, 1410-1435 (2022). MSC: 90C17 90C26 90C59 65K05 × Cite Format Result Cite Review PDF Full Text: DOI
Finnah, Benedikt; Gönsch, Jochen; Ziel, Florian Integrated day-ahead and intraday self-schedule bidding for energy storage systems using approximate dynamic programming. (English) Zbl 1506.90284 Eur. J. Oper. Res. 301, No. 2, 726-746 (2022). MSC: 90C90 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Kiszka, Adriana; Wozabal, David A stability result for linear Markovian stochastic optimization problems. (English) Zbl 1489.90081 Math. Program. 191, No. 2 (A), 871-906 (2022). MSC: 90C15 90C31 90C40 60J05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Sur, Arnab; Birge, John R. Asymptotic behavior of solutions: an application to stochastic NLP. (English) Zbl 1485.60019 Math. Program. 191, No. 1 (B), 281-306 (2022). MSC: 60E05 62P20 91B02 90C15 60F10 × Cite Format Result Cite Review PDF Full Text: DOI
Garatti, S.; Campi, M. C. Risk and complexity in scenario optimization. (English) Zbl 1491.90104 Math. Program. 191, No. 1 (B), 243-279 (2022). Reviewer: I. M. Stancu-Minasian (Bucureşti) MSC: 90C15 90C25 62C12 × Cite Format Result Cite Review PDF Full Text: DOI Link
Pichler, Alois; Xu, Huifu Quantitative stability analysis for minimax distributionally robust risk optimization. (English) Zbl 1489.90089 Math. Program. 191, No. 1 (B), 47-77 (2022). MSC: 90C15 90C17 60B05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Jaimungal, Sebastian; Pesenti, Silvana M.; Wang, Ye Sheng; Tatsat, Hariom Robust risk-aware reinforcement learning. (English) Zbl 1484.91426 SIAM J. Financ. Math. 13, No. 1, 213-226 (2022). MSC: 91G10 91G70 90C17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lin, Fengming; Fang, Xiaolei; Gao, Zheming Distributionally robust optimization. A review on theory and applications. (English) Zbl 1485.90083 Numer. Algebra Control Optim. 12, No. 1, 159-212 (2022). MSC: 90C17 90-02 90C47 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Vitali, Sebastiano; Domínguez, Ruth; Moriggia, Vittorio Comparing stage-scenario with nodal formulation for multistage stochastic problems. (English) Zbl 1522.90057 4OR 19, No. 4, 613-631 (2021). MSC: 90C15 90C05 90C06 97M50 × Cite Format Result Cite Review PDF Full Text: DOI
Gärtner, T.; Kaniovski, S.; Kaniovski, Y. Numerical estimates of risk factors contingent on credit ratings. (English) Zbl 07722438 Comput. Manag. Sci. 18, No. 4, 563-589 (2021). MSC: 90Bxx 90C30 90C90 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Ji, Ran; Lejeune, Miguel A. Data-driven optimization of reward-risk ratio measures. (English) Zbl 07548829 INFORMS J. Comput. 33, No. 3, 1120-1137 (2021). MSC: 90-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Terça, Gonçalo; Wozabal, David Envelope theorems for multistage linear stochastic optimization. (English) Zbl 1485.90075 Oper. Res. 69, No. 5, 1608-1629 (2021). MSC: 90C15 90C40 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Wei; Yang, Li; Yu, Bo KDE distributionally robust portfolio optimization with higher moment coherent risk. (English) Zbl 1478.90070 Ann. Oper. Res. 307, No. 1-2, 363-397 (2021). MSC: 90C15 90C25 91G10 90C47 × Cite Format Result Cite Review PDF Full Text: DOI
Silva, Thuener; Valladão, Davi; Homem-de-Mello, Tito A data-driven approach for a class of stochastic dynamic optimization problems. (English) Zbl 1481.90237 Comput. Optim. Appl. 80, No. 3, 687-729 (2021). MSC: 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Bandarra, Michelle; Guigues, Vincent Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. (English) Zbl 07432763 Comput. Manag. Sci. 18, No. 2, 125-148 (2021). MSC: 90Bxx 90C15 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Keith, Andrew J.; Ahner, Darryl K. A survey of decision making and optimization under uncertainty. (English) Zbl 1480.90185 Ann. Oper. Res. 300, No. 2, 319-353 (2021). MSC: 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Bansal, Manish; Zhang, Yingqiu Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs. (English) Zbl 1478.90062 J. Glob. Optim. 81, No. 2, 391-433 (2021). MSC: 90C11 90C17 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Boso, Francesca; Boskos, Dimitris; Cortés, Jorge; Martínez, Sonia; Tartakovsky, Daniel M. Dynamics of data-driven ambiguity sets for hyperbolic conservation laws with uncertain inputs. (English) Zbl 1467.35366 SIAM J. Sci. Comput. 43, No. 3, A2102-A2129 (2021). MSC: 35R60 35L65 60H15 68T37 90C15 90C90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Oliveira, Fernando S.; Ruiz, Carlos Analysis of futures and spot electricity markets under risk aversion. (English) Zbl 1487.91077 Eur. J. Oper. Res. 291, No. 3, 1132-1148 (2021). MSC: 91B74 90C15 91A80 91G15 × Cite Format Result Cite Review PDF Full Text: DOI
Saif, Ahmed; Delage, Erick Data-driven distributionally robust capacitated facility location problem. (English) Zbl 1487.90446 Eur. J. Oper. Res. 291, No. 3, 995-1007 (2021). MSC: 90B80 90C15 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Löhndorf, Nils; Wozabal, David Gas storage valuation in incomplete markets. (English) Zbl 1487.90501 Eur. J. Oper. Res. 288, No. 1, 318-330 (2021). MSC: 90C15 90C39 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Yannan; Sun, Hailin; Xu, Huifu Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems. (English) Zbl 1468.90075 Comput. Optim. Appl. 78, No. 1, 205-238 (2021). MSC: 90C17 90C59 × Cite Format Result Cite Review PDF Full Text: DOI
Ji, Ran; Lejeune, Miguel A. Data-driven distributionally robust chance-constrained optimization with Wasserstein metric. (English) Zbl 1465.90055 J. Glob. Optim. 79, No. 4, 779-811 (2021). MSC: 90C17 90C11 × Cite Format Result Cite Review PDF Full Text: DOI
van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch. Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. (English) Zbl 07304214 Comput. Manag. Sci. 17, No. 3, 357-385 (2020); correction ibid. 17, No. 3, 387 (2020). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Adam, Lukáš; Branda, Martin; Heitsch, Holger; Henrion, René Solving joint chance constrained problems using regularization and Benders’ decomposition. (English) Zbl 1451.90103 Ann. Oper. Res. 292, No. 2, 683-709 (2020). MSC: 90C15 90C26 49M05 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Wei; Xu, Huifu Robust spectral risk optimization when information on risk spectrum is incomplete. (English) Zbl 1454.90040 SIAM J. Optim. 30, No. 4, 3198-3229 (2020). MSC: 90C17 60B05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
de Klerk, Etienne; Kuhn, Daniel; Postek, Krzysztof Distributionally robust optimization with polynomial densities: theory, models and algorithms. (English) Zbl 1467.90030 Math. Program. 181, No. 2 (B), 265-296 (2020). Reviewer: Suvra Kanti Chakraborty (Kolkata) MSC: 90C17 90C22 90C26 90C15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rintamäki, Tuomas; Siddiqui, Afzal S.; Salo, Ahti Strategic offering of a flexible producer in day-ahead and intraday power markets. (English) Zbl 1441.91052 Eur. J. Oper. Res. 284, No. 3, 1136-1153 (2020). MSC: 91B74 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Glanzer, Martin; Pflug, Georg Ch. Multiscale stochastic optimization: modeling aspects and scenario generation. (English) Zbl 1432.90094 Comput. Optim. Appl. 75, No. 1, 1-34 (2020). MSC: 90C15 90-10 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Wang, Zhuolin; You, Keyou; Song, Shiji; Zhang, Yuli Wasserstein distributionally robust shortest path problem. (English) Zbl 1441.90113 Eur. J. Oper. Res. 284, No. 1, 31-43 (2020). MSC: 90C15 90C35 90C25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Anderson, Edward; Xu, Huifu; Zhang, Dali Varying confidence levels for CVaR risk measures and minimax limits. (English) Zbl 1436.90092 Math. Program. 180, No. 1-2 (A), 327-370 (2020). MSC: 90C15 90C17 65K05 91B05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Zhou, Shaorui; Zhang, Hui; Shi, Ning; Xu, Zhou; Wang, Fan A new convergent hybrid learning algorithm for two-stage stochastic programs. (English) Zbl 1431.90105 Eur. J. Oper. Res. 283, No. 1, 33-46 (2020). MSC: 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hohmann, Marc; Warrington, Joseph; Lygeros, John A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems. (English) Zbl 1431.90168 Eur. J. Oper. Res. 283, No. 1, 16-32 (2020). MSC: 90C39 90C15 91B74 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wozabal, David; Rameseder, Gunther Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity. (English) Zbl 1430.90448 Eur. J. Oper. Res. 280, No. 2, 639-655 (2020). MSC: 90C15 90C40 91B26 × Cite Format Result Cite Review PDF Full Text: DOI
Kapteyn, Michael G.; Willcox, Karen E.; Philpott, Andy B. Distributionally robust optimization for engineering design under uncertainty. (English) Zbl 07864304 Int. J. Numer. Methods Eng. 120, No. 7, 835-859 (2019). MSC: 90Cxx 74Pxx 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zhi; Sim, Melvyn; Xu, Huan Distributionally robust optimization with infinitely constrained ambiguity sets. (English) Zbl 1455.90117 Oper. Res. 67, No. 5, 1328-1344 (2019). MSC: 90C17 90C15 × Cite Format Result Cite Review PDF Full Text: DOI Link
Liu, Yongchao; Pichler, Alois; Xu, Huifu Discrete approximation and quantification in distributionally robust optimization. (English) Zbl 1440.90041 Math. Oper. Res. 44, No. 1, 19-37 (2019). MSC: 90C17 90C15 90C31 90C47 × Cite Format Result Cite Review PDF Full Text: DOI Link
Maggioni, Francesca; Cagnolari, Matteo; Bertazzi, Luca The value of the right distribution in stochastic programming with application to a Newsvendor problem. (English) Zbl 07137452 Comput. Manag. Sci. 16, No. 4, 739-758 (2019). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI Link
Hölzl, W.; Kaniovski, S.; Kaniovski, Y. Exploring the dynamics of business survey data using Markov models. (English) Zbl 07137447 Comput. Manag. Sci. 16, No. 4, 621-649 (2019). MSC: 90Bxx 90C30 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zhi; Yu, Pengqian; Haskell, William B. Distributionally robust optimization for sequential decision-making. (English) Zbl 1431.90169 Optimization 68, No. 12, 2393-2422 (2019). MSC: 90C40 90C47 90C25 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bansal, Manish; Mehrotra, Sanjay On solving two-stage distributionally robust disjunctive programs with a general ambiguity set. (English) Zbl 1430.90437 Eur. J. Oper. Res. 279, No. 2, 296-307 (2019). MSC: 90C15 90C27 90C17 × Cite Format Result Cite Review PDF Full Text: DOI
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe Portfolio optimization with entropic value-at-risk. (English) Zbl 1431.91349 Eur. J. Oper. Res. 279, No. 1, 225-241 (2019). MSC: 91G10 90C15 90C25 91G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Luo, Fengqiao; Mehrotra, Sanjay Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models. (English) Zbl 1430.90557 Eur. J. Oper. Res. 278, No. 1, 20-35 (2019). MSC: 90C47 90C15 60B10 62J02 90C34 × Cite Format Result Cite Review PDF Full Text: DOI
Carlsson, John Gunnar; Wang, Ye Distributions with maximum spread subject to Wasserstein distance constraints. (English) Zbl 1424.90196 J. Oper. Res. Soc. China 7, No. 1, 69-105 (2019). MSC: 90C15 90C34 × Cite Format Result Cite Review PDF Full Text: DOI
Zou, Jikai; Ahmed, Shabbir; Sun, Xu Andy Stochastic dual dynamic integer programming. (English) Zbl 1412.90101 Math. Program. 175, No. 1-2 (A), 461-502 (2019). MSC: 90C15 90C11 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Glanzer, Martin; Pflug, Georg Ch.; Pichler, Alois Incorporating statistical model error into the calculation of acceptability prices of contingent claims. (English) Zbl 1421.90095 Math. Program. 174, No. 1-2 (B), 499-524 (2019). MSC: 90C15 91B25 52A41 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Nouiehed, Maher; Pang, Jong-Shi; Razaviyayn, Meisam On the pervasiveness of difference-convexity in optimization and statistics. (English) Zbl 1434.90155 Math. Program. 174, No. 1-2 (B), 195-222 (2019); correction ibid. 174, No. 1-2 (B), 223-224 (2019). Reviewer: Karel Zimmermann (Praha) MSC: 90C26 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rahimian, Hamed; Bayraksan, Güzin; Homem-de-Mello, Tito Identifying effective scenarios in distributionally robust stochastic programs with total variation distance. (English) Zbl 1410.90142 Math. Program. 173, No. 1-2 (A), 393-430 (2019). MSC: 90C15 90C47 × Cite Format Result Cite Review PDF Full Text: DOI
Löhndorf, Nils; Shapiro, Alexander Modeling time-dependent randomness in stochastic dual dynamic programming. (English) Zbl 1403.90536 Eur. J. Oper. Res. 273, No. 2, 650-661 (2019). MSC: 90C15 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Salas, Daniel F.; Powell, Warren B. Benchmarking a scalable approximate dynamic programming algorithm for stochastic control of grid-level energy storage. (English) Zbl 1446.90045 INFORMS J. Comput. 30, No. 1, 106-123 (2018). MSC: 90B05 91B76 90C39 90C59 × Cite Format Result Cite Review PDF Full Text: DOI
Carlsson, John Gunnar; Behroozi, Mehdi; Mihic, Kresimir Wasserstein distance and the distributionally robust TSP. (English) Zbl 1446.90050 Oper. Res. 66, No. 6, 1603-1624 (2018). MSC: 90B06 90C27 × Cite Format Result Cite Review PDF Full Text: DOI Link