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Risk-averse stochastic programming : time consistency and optimal stopping
Pichler, Alois; Liu, Rui Peng; Shapiro, Alexander - In: Operations research 70 (2022) 4, pp. 2439-2455
Persistent link: https://www.econbiz.de/10013366477
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Analysis of stochastic dual dynamic programming method
Shapiro, Alexander - In: European journal of operational research : EJOR 209 (2011) 1, pp. 63-72
Persistent link: https://www.econbiz.de/10008798705
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A dynamic programming approach to adjustable robust optimization
Shapiro, Alexander - In: Operations research letters 39 (2011) 2, pp. 83-87
Persistent link: https://www.econbiz.de/10009010694
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Minimax and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 219 (2012) 3, pp. 719-726
Persistent link: https://www.econbiz.de/10009526593
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Distributionally robust optimal control and MDP modeling
Shapiro, Alexander - In: Operations research letters 49 (2021) 5, pp. 809-814
Persistent link: https://www.econbiz.de/10013207452
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Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 288 (2021) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10012496519
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Distributionally robust modeling of optimal control
Shapiro, Alexander - In: Operations research letters 50 (2022) 5, pp. 561-567
Persistent link: https://www.econbiz.de/10013449446
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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989
Persistent link: https://www.econbiz.de/10011445359
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Rectangular sets of probability measures
Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
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Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Shapiro, Alexander; Tekaya, Wajdi; Costa, Joari Paulo da; … - In: European journal of operational research : EJOR 224 (2013) 2, pp. 375-391
Persistent link: https://www.econbiz.de/10009683060