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math.OC2022★ 1 cited
Sensitivity of multiperiod optimization problems in adapted Wasserstein distance
Daniel Bartl, Johannes Wiesel
We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in…
math.OC2020★ 24 cited
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Daniel Bartl, Samuel Drapeau, Jan Obloj +1
We consider sensitivity of a generic stochastic optimization problem to model uncertainty. We take a non-parametric approach and capture model uncertainty using Wasserstein balls a…