27 citations · 76 across the 19 of their papers we have counts for
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math.OC2019★ 1 cited
Duality and sensitivity analysis of multistage linear stochastic programs
Vincent Guigues, Alexander Shapiro, Yi Cheng
We investigate the dual of a Multistage Stochastic Linear Program (MSLP) to study two questions for this class of problems. The first of these questions is the study of the optimal…
stat.ML2019★ 5 cited
Goodness-of-fit tests on manifolds
Alexander Shapiro, Yao Xie, Rui Zhang
We develop a general theory for the goodness-of-fit test to non-linear models. In particular, we assume that the observations are noisy samples of a submanifold defined by a \yao{s…
math.OC2019★ 8 cited
Risk Neutral Reformulation Approach to Risk Averse Stochastic Programming
Rui Peng Liu, Alexander Shapiro
The aim of this paper is to show that in some cases risk averse multistage stochastic programming problems can be reformulated in a form of risk neutral setting. This is achieved b…