2 citations · 2 across the 2 of their papers we have counts for
3 papers
math.OC2025
Risk-averse formulations of Stochastic Optimal Control and Markov Decision Processes
Alexander Shapiro, Yan Li
The aim of this paper is to investigate risk-averse and distributionally robust modeling of Stochastic Optimal Control (SOC) and Markov Decision Process (MDP). We discuss construct…
math.OC2023★ 2 cited
Numerical Methods for Convex Multistage Stochastic Optimization
Guanghui Lan, Alexander Shapiro
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision P…
math.OC2023
Statistical Limit Theorems in Distributionally Robust Optimization
Jose Blanchet, Alexander Shapiro
The goal of this paper is to develop methodology for the systematic analysis of asymptotic statistical properties of data driven DRO formulations based on their corresponding non-D…