Stability of stochastic programming problems
W Römisch - Handbooks in operations research and management …, 2003 - Elsevier
The behaviour of stochastic programming problems is studied in case of the underlying
probability distribution being perturbed and approximated, respectively. Most of the …
probability distribution being perturbed and approximated, respectively. Most of the …
Wasserstein distributionally robust optimization: Theory and applications in machine learning
Many decision problems in science, engineering, and economics are affected by uncertain
parameters whose distribution is only indirectly observable through samples. The goal of …
parameters whose distribution is only indirectly observable through samples. The goal of …
[图书][B] Introduction to stochastic programming
JR Birge, F Louveaux - 2011 - books.google.com
The aim of stochastic programming is to find optimal decisions in problems which involve
uncertain data. This field is currently developing rapidly with contributions from many …
uncertain data. This field is currently developing rapidly with contributions from many …
[图书][B] Stochastic programming
A Prékopa - 2013 - books.google.com
Stochastic programming-the science that provides us with tools to design and control
stochastic systems with the aid of mathematical programming techniques-lies at the …
stochastic systems with the aid of mathematical programming techniques-lies at the …
[图书][B] Mass Transportation Problems: Volume 1: Theory
ST Rachev, L Rüschendorf - 2006 - books.google.com
The first comprehensive account of the theory of mass transportation problems and its
applications. In Volume I, the authors systematically develop the theory with emphasis on …
applications. In Volume I, the authors systematically develop the theory with emphasis on …
[图书][B] Scenario reduction in stochastic programming: An approach using probability metrics
J Dupacová, N Gröwe-Kuska, W Römisch - 2000 - edoc.hu-berlin.de
Given a convex stochastic programming problem with a discrete initial probability
distribution, the problem of optimal scenario reduction is stated as follows: Determine a …
distribution, the problem of optimal scenario reduction is stated as follows: Determine a …
Scenario reduction in stochastic programming
J Dupačová, N Gröwe-Kuska, W Römisch - Mathematical programming, 2003 - Springer
Given a convex stochastic programming problem with a discrete initial probability
distribution, the problem of optimal scenario reduction is stated as follows: Determine a …
distribution, the problem of optimal scenario reduction is stated as follows: Determine a …
Scenario tree modeling for multistage stochastic programs
H Heitsch, W Römisch - Mathematical Programming, 2009 - Springer
An important issue for solving multistage stochastic programs consists in the approximate
representation of the (multivariate) stochastic input process in the form of a scenario tree. In …
representation of the (multivariate) stochastic input process in the form of a scenario tree. In …
A distance for multistage stochastic optimization models
We describe multistage stochastic programs in a purely in-distribution setting, ie, without any
reference to a concrete probability space. The concept is based on the notion of nested …
reference to a concrete probability space. The concept is based on the notion of nested …