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math.OC2025
Scenario-based Regularization: A Tractable Framework for Distributionally Robust Stochastic Optimization
Diego Fonseca, Mauricio Junca
We propose a flexible scenario-based regularized Sample Average Approximation (SBR-SAA) framework for stochastic optimization. This work is motivated by challenges in standard Wass…
math.OC2024
An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward
Mauricio Junca, Harold Moreno-Franco, Jose Luis Perez
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contr…