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Partially observable Markov decision processes incorporating epistemic uncertainties

Faffoul, Rafic; Raphael, Wassim; Soubra, A.-H.; … - In: European journal of operational research : EJOR 241 (2015) 2, pp. 391-401

Persistent link: https://www.econbiz.de/10010486878

Robust Solutions of Optimization Problems Affected by Uncertain Probabilities

Ben-Tal, Aharon - 2011

In this paper we focus on robust linear optimization problems with uncertainty regions defined by ø-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on ø-divergences arise in a natural way as confidence sets if the uncertain parameters...

Persistent link: https://www.econbiz.de/10013124587

Robust optimization with order statistic uncertainty set

Zhang, Pengfei; Gupta, Diwakar - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1023-1039

Persistent link: https://www.econbiz.de/10014440197

Robustness of optimal portfolios under risk and stochastic dominance constraints

Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441

Persistent link: https://www.econbiz.de/10010356735

Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

Decision making under uncertainty : a semiinfinite programming approach

Weber, R. - 1982

Persistent link: https://www.econbiz.de/10002986346

A General Solution for Linear Decision Rules : An Optimal Dynamic Strategy Applicable Under Uncertainty

Hay, George Alan - 2023

Linear decision rules for controlling complex systems are often obtained by matrix inversion, but transform methods … offer an alternative approach that yields insights into the structure of the decision problem of maximizing expected payoffs …

Persistent link: https://www.econbiz.de/10014344822

Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set

Postek, Kryzsztof; Hertog, Dirk den - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 553-574

Persistent link: https://www.econbiz.de/10011539037

Affinely adjustable robust model for multiperiod production planning under uncertainty

Kim, Byung Soo; Chung, Byung Do - In: IEEE transactions on engineering management : EM 64 (2017) 4, pp. 505-514

Persistent link: https://www.econbiz.de/10011773106

The decision rule approach to optimization under uncertainty : methodology and applications

Georghiou, Angelos; Kuhn, Daniel; Wiesemann, Wolfram - In: Computational Management Science : CMS 16 (2019) 4, pp. 545-576

Persistent link: https://www.econbiz.de/10012126678