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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…