Multistage Stochastic Optimization

264 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (2016, result): “The study of numerics speciﬁc to causal optimal transport in continuous time is object of current research by the authors, while in discrete time there are already results present in the literature, see e.g. [Pﬂ09, PP12, PP14].”
Distributionally Robust Stochastic Optimization with Wasserstein Distance (2016, methodology): “torovich distance, which is now known as W 1-Wasserstein distance. In the eld of stochastic programming, Wasserstein distance has been used for multistage stochastic programming (see P ug and Pichler [36] and reference therein) and Wasserstein ambiguity set is considered in Wozabal [51]. But only un”
Adapted Wasserstein distances and stability in mathematical finance (2019, methodology): “Unrelated to these developments Pflug and Pichler [52, 53, 54] have introduced the nested distances for the stability of stochastic programming in discrete time.”
Estimating processes in adapted Wasserstein distance (2020, methodology): “ormation topology. The work of Hellwig [19] was motivated by questions of stability in dynamic economic models/games; see [24, 35, 20, 8] for further research in this direction. P ug and P ug-Pichler [29, 33, 30, 31, 32] introduced the nested distance and systematically applied it to stochastic mult”