Concepedia

Distributionally robust SDDP

Andy Philpott, Vitor Luiz de Matos, Lea Kapelevich

Computational Management Science · 2018 · 44 citations · 17 references

DOI

References

17

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

, , +14

Julia: A Fresh Approach to Numerical Computing

Jeff Bezanson, Alan Edelman, Stefan Karpinski et al. · SIAM Review · 2017 · 6.3K citations

, , +9

Theory and Applications of Robust Optimization

David B. Brown, Constantine Caramanis, Dimitris Bertsimas · DSpace@MIT (Massachusetts Institute of Technology) · 2010 · 2.5K citations · Full text

, , +12

Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations

Peyman Mohajerin Esfahani, Daniel Kühn · Infoscience (Ecole Polytechnique Fédérale de Lausanne) · 2017 · 1.8K citations · Full text

, , +17

JuMP: A MODELING LANGUAGE FOR MATHEMATICAL OPTIMIZATION

2016 · 1.4K citations

, , +13