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Titel:

A framework for optimization under ambiguity

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Wozabal, David
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
In this paper, single stage stochastic programs with ambiguous distributions for the involved random variables are considered. Though the true distribution is unknown, existence of a reference measure P enables the construction of non-parametric ambiguity sets as Kantorovich balls around P. The original stochastic optimization problems are robustified by a worst case approach with respect to these ambiguity sets. The resulting problems are infinite optimization problems and can therefore not be...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Annals of Operations Research
Journal gelistet in FT50 Ranking:
nein
Jahr:
2012
Band / Volume:
193
Heft / Issue:
1
Seitenangaben Beitrag:
21-47
Nachgewiesen in:
Scopus; Web of Science
Sprache:
en
Volltext / DOI:
doi:http://dx.doi.org/10.1007/s10479-010-0812-0
WWW:
http://dx.doi.org/10.1007/s10479-010-0812-0
Status:
Erstveröffentlichung
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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