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Asymptotic consistency for nonconvex risk-averse stochastic optimization with infinite-dimensional decision spaces
Milz, Johannes; Surowiec, Thomas M. - In: Mathematics of operations research 49 (2024) 3, pp. 1403-1418
Persistent link: https://www.econbiz.de/10015047532
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Coupled learning enabled stochastic programming with endogenous uncertainty
Liu, Junyi; Li, Guangyu; Sen, Suvrajeet - In: Mathematics of operations research 47 (2022) 2, pp. 1681-1705
Persistent link: https://www.econbiz.de/10013365344
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Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
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Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
Cohen, Asaf - In: Mathematics of operations research 44 (2019) 2, pp. 739-766
Persistent link: https://www.econbiz.de/10012028708
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On the optimality of affine policies for budgeted uncertainty sets
El Housni, Omar; Goyal, Vineet - In: Mathematics of operations research 46 (2021) 2, pp. 674-711
Persistent link: https://www.econbiz.de/10012582195
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Stock price swings and fundamentals : the role of Knightian uncertainty
Mangee, Nicholas - In: International review of financial analysis 91 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014446941
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Distributionally robust chance constrained geometric optimization
Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Mathematics of operations research 47 (2022) 4, pp. 2950-2988
Persistent link: https://www.econbiz.de/10014311394
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Optimal information blending with measurements in the L2 sphere
Defourny, Boris; Ryzhov, Ilya O.; Powell, Warren B. - In: Mathematics of operations research 40 (2015) 4, pp. 1060-1088
Persistent link: https://www.econbiz.de/10011409051
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Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi; Cui, Ying; Pang, Jong-shi - In: Mathematics of operations research 47 (2022) 4, pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
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Quantifying distributional model risk via optimal transport
Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600
Persistent link: https://www.econbiz.de/10012028635