27 citations · 76 across the 19 of their papers we have counts for
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math.OC2021★ 1 cited
Risk-Averse Stochastic Optimal Control: an efficiently computable statistical upper bound
Vincent Guigues, Alexander Shapiro, Yi Cheng
In this paper, we discuss an application of the SDDP type algorithm to nested risk-averse formulations of Stochastic Optimal Control (SOC) problems. We propose a construction of a…
math.OC2021★ 1 cited
Bayesian Distributionally Robust Optimization
Alexander Shapiro, Enlu Zhou, Yifan Lin
We introduce a new framework, Bayesian Distributionally Robust Optimization (Bayesian-DRO), for data-driven stochastic optimization where the underlying distribution is unknown. Ba…
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…