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Inference of statistical bounds for multistage stochastic programming problems
Shapiro, Alex - In: Mathematical methods of operations research 58 (2003) 1, pp. 57-68
Persistent link: https://www.econbiz.de/10001788397
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Risk-averse stochastic optimal control : An efficiently computable statistical upper bound
Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: Operations research letters 51 (2023) 4, pp. 393-400
Persistent link: https://www.econbiz.de/10014426574
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On a time consistency concept in risk averse multistage stochastic programming
Shapiro, Alexander - In: Operations research letters 37 (2009) 3, pp. 143-147
Persistent link: https://www.econbiz.de/10003903823
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A dynamic programming approach to adjustable robust optimization
Shapiro, Alexander - In: Operations research letters 39 (2011) 2, pp. 83-87
Persistent link: https://www.econbiz.de/10009010694
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Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
De Maere d'Aertrycke, Gauthier; Shapiro, Alexander; … - In: Mathematical methods of operations research 77 (2013) 3, pp. 393-405
Persistent link: https://www.econbiz.de/10009774882
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Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Shapiro, Alexander; Tekaya, Wajdi; Costa, Joari Paulo da; … - In: European journal of operational research : EJOR 224 (2013) 2, pp. 375-391
Persistent link: https://www.econbiz.de/10009683060
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Minimax and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 219 (2012) 3, pp. 719-726
Persistent link: https://www.econbiz.de/10009526593
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Rectangular sets of probability measures
Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989
Persistent link: https://www.econbiz.de/10011445359
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Modeling time-dependent randomness in stochastic dual dynamic programming
Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661
Persistent link: https://www.econbiz.de/10011987574