12 citations · 57 across the 23 of their papers we have counts for
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math.OC2021★ 9 cited
Foundations of Multistage Stochastic Programming
Paul Dommel, Alois Pichler
Multistage stochastic optimization problems are oftentimes formulated informally in a pathwise way. These are correct in a discrete setting and suitable when addressing computation…
math.OC2021★ 2 cited
Nested Sinkhorn Divergence To Compute The Nested Distance
Alois Pichler, Michael Weinhardt
The nested distance builds on the Wasserstein distance to quantify the difference of stochastic processes, including also the information modelled by filtrations. The Sinkhorn dive…
math.OC2021
Mathematical Foundations of Distributionally Robust Multistage Optimization
Alois Pichler, Alexander Shapiro
Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, ri…