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Asymptotic consistency for nonconvex risk-averse stochastic optimization with infinite-dimensional decision spaces
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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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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Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Mathematics of operations research 43 (2018) 2, pp. 347-376
Persistent link: https://www.econbiz.de/10011868609
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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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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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Models for minimax stochastic linear optimization problems with risk aversion
Bertsimas, Dimitris; Doan, Xuan Vinh; Natarajan, Karthik; … - In: Mathematics of operations research 35 (2010) 3, pp. 580-602
Persistent link: https://www.econbiz.de/10008660776
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Proper efficiency and tradeoffs in multiple criteria and stochastic optimization
Engau, Alexander - In: Mathematics of operations research 42 (2017) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10011654582
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Distributionally robust stochastic optimization with Wasserstein distance
Gao, Rui; Kleywegt, Anton - In: Mathematics of operations research 48 (2023) 2, pp. 603-655
Persistent link: https://www.econbiz.de/10014314839
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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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Stochastic approximation proximal method of multipliers for convex stochastic programming
Zhang, Liwei; Zhang, Yule; Xiao, Xiantao; Wu, Jia - In: Mathematics of operations research 48 (2023) 1, pp. 177-193
Persistent link: https://www.econbiz.de/10014312542