Ebrahimi-Sadrabadi, Mahnaz; Ostadi, Bakhtiar; Sepehri, Mohammad Mehdi; Kashan, Ali Husseinzadeh Optimal resource allocation model in disaster situations for maximizing the value of operational process resiliency and continuity. (English) Zbl 1522.90294 RAIRO, Oper. Res. 57, No. 3, 1539-1557 (2023). MSC: 90C90 91B32 90C47 PDFBibTeX XMLCite \textit{M. Ebrahimi-Sadrabadi} et al., RAIRO, Oper. Res. 57, No. 3, 1539--1557 (2023; Zbl 1522.90294) Full Text: DOI
Garatti, Simone; Campi, Marco C. On conditional risk assessments in scenario optimization. (English) Zbl 1519.90135 SIAM J. Optim. 33, No. 2, 455-480 (2023). MSC: 90C15 90C25 62C20 PDFBibTeX XMLCite \textit{S. Garatti} and \textit{M. C. Campi}, SIAM J. Optim. 33, No. 2, 455--480 (2023; Zbl 1519.90135) Full Text: DOI
Wu, Fan; Rebeschini, Patrick Nearly minimax-optimal rates for noisy sparse phase retrieval via early-stopped mirror descent. (English) Zbl 1524.62026 Inf. Inference 12, No. 2, 633-713 (2023). MSC: 62C20 94A12 90C30 PDFBibTeX XMLCite \textit{F. Wu} and \textit{P. Rebeschini}, Inf. Inference 12, No. 2, 633--713 (2023; Zbl 1524.62026) Full Text: DOI arXiv
Zhukovskiĭ, Vladislav Iosifovich; Zhukovskaya, Lidiya Vladislavovna; Samsonov, Sergeĭ Petrovich; Smirnova, Lidiya Viktorovna The Savage principle and accounting for outcome in single-criterion nonlinear problem under uncertainty. (Russian. English summary) Zbl 1496.90109 Izv. Inst. Mat. Inform., Udmurt. Gos. Univ. 59, 25-40 (2022). MSC: 90C47 PDFBibTeX XMLCite \textit{V. I. Zhukovskiĭ} et al., Izv. Inst. Mat. Inform., Udmurt. Gos. Univ. 59, 25--40 (2022; Zbl 1496.90109) Full Text: DOI MNR
Bäuerle, Nicole; Glauner, Alexander Distributionally robust Markov decision processes and their connection to risk measures. (English) Zbl 1501.90107 Math. Oper. Res. 47, No. 3, 1757-1780 (2022). MSC: 90C40 90C17 91G70 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{A. Glauner}, Math. Oper. Res. 47, No. 3, 1757--1780 (2022; Zbl 1501.90107) Full Text: DOI arXiv
Guo, Shaoyan; Xu, Huifu Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach. (English) Zbl 1494.90059 Math. Program. 194, No. 1-2 (A), 305-340 (2022). MSC: 90C15 90C47 90C17 PDFBibTeX XMLCite \textit{S. Guo} and \textit{H. Xu}, Math. Program. 194, No. 1--2 (A), 305--340 (2022; Zbl 1494.90059) Full Text: DOI
Li, Bo; Sun, Yufei; Teo, Kok Lay An analytic solution for multi-period uncertain portfolio selection problem. (English) Zbl 1491.91122 Fuzzy Optim. Decis. Mak. 21, No. 2, 319-333 (2022). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{B. Li} et al., Fuzzy Optim. Decis. Mak. 21, No. 2, 319--333 (2022; Zbl 1491.91122) Full Text: DOI
Benati, S.; Conde, E. A relative robust approach on expected returns with bounded CVaR for portfolio selection. (English) Zbl 1487.91111 Eur. J. Oper. Res. 296, No. 1, 332-352 (2022). MSC: 91G10 90C47 91G70 PDFBibTeX XMLCite \textit{S. Benati} and \textit{E. Conde}, Eur. J. Oper. Res. 296, No. 1, 332--352 (2022; Zbl 1487.91111) Full Text: DOI
Liu, Wei; Yang, Li; Yu, Bo KDE distributionally robust portfolio optimization with higher moment coherent risk. (English) Zbl 1478.90070 Ann. Oper. Res. 307, No. 1-2, 363-397 (2021). MSC: 90C15 90C25 91G10 90C47 PDFBibTeX XMLCite \textit{W. Liu} et al., Ann. Oper. Res. 307, No. 1--2, 363--397 (2021; Zbl 1478.90070) Full Text: DOI
Gurevsky, Evgeny; Kovalev, Sergey; Kovalyov, Mikhail Y. Min-max controllable risk problems. (English) Zbl 1471.90163 4OR 19, No. 1, 93-101 (2021). MSC: 90C47 90C32 90C27 PDFBibTeX XMLCite \textit{E. Gurevsky} et al., 4OR 19, No. 1, 93--101 (2021; Zbl 1471.90163) Full Text: DOI
Yu, Haodong; Sun, Jie Robust stochastic optimization with convex risk measures: a discretized subgradient scheme. (English) Zbl 1474.90308 J. Ind. Manag. Optim. 17, No. 1, 81-99 (2021). MSC: 90C15 90C47 90C17 PDFBibTeX XMLCite \textit{H. Yu} and \textit{J. Sun}, J. Ind. Manag. Optim. 17, No. 1, 81--99 (2021; Zbl 1474.90308) Full Text: DOI
Xie, Weijun On distributionally robust chance constrained programs with Wasserstein distance. (English) Zbl 1459.90141 Math. Program. 186, No. 1-2 (A), 115-155 (2021). MSC: 90C17 90C47 90C11 PDFBibTeX XMLCite \textit{W. Xie}, Math. Program. 186, No. 1--2 (A), 115--155 (2021; Zbl 1459.90141) Full Text: DOI arXiv
Kao, Lie-Jane; Lee, Cheng Few Alternative method for determining industrial bond ratings: theory and empirical evidence. (English) Zbl 1451.91213 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2081-2105 (2021). MSC: 91G40 90C29 PDFBibTeX XMLCite \textit{L.-J. Kao} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2081--2105 (2021; Zbl 1451.91213) Full Text: DOI
Korotkov, Vladimir; Emelichev, Vladimir; Nikulin, Yury Multicriteria investment problem with Savage’s risk criteria: theoretical aspects of stability and case study. (English) Zbl 1449.90162 J. Ind. Manag. Optim. 16, No. 3, 1297-1310 (2020). MSC: 90B50 90C29 90C31 91G10 91B05 PDFBibTeX XMLCite \textit{V. Korotkov} et al., J. Ind. Manag. Optim. 16, No. 3, 1297--1310 (2020; Zbl 1449.90162) Full Text: DOI
Zhao, Yong; Liu, Yongchao; Yang, Xinming Distributionally robust reward-risk ratio programming with Wasserstein metric. (English) Zbl 1454.90039 Pac. J. Optim. 15, No. 1, 69-90 (2019). MSC: 90C15 90C34 90C47 PDFBibTeX XMLCite \textit{Y. Zhao} et al., Pac. J. Optim. 15, No. 1, 69--90 (2019; Zbl 1454.90039) Full Text: Link
Goldenshluger, Alexander; Koops, David T. Nonparametric estimation of service time characteristics in infinite-server queues with nonstationary Poisson input. (English) Zbl 1446.60067 Stoch. Syst. 9, No. 3, 183-207 (2019). MSC: 60K25 90B22 PDFBibTeX XMLCite \textit{A. Goldenshluger} and \textit{D. T. Koops}, Stoch. Syst. 9, No. 3, 183--207 (2019; Zbl 1446.60067) Full Text: DOI arXiv
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, Marco; Obłój, Jan Pointwise arbitrage pricing theory in discrete time. (English) Zbl 1437.90159 Math. Oper. Res. 44, No. 3, 1034-1057 (2019). MSC: 90C46 90C47 90C17 91G20 49K45 49N15 60G42 93E20 91G70 PDFBibTeX XMLCite \textit{M. Burzoni} et al., Math. Oper. Res. 44, No. 3, 1034--1057 (2019; Zbl 1437.90159) Full Text: DOI arXiv
Li, Bo; Sun, Yufei; Aw, Grace; Teo, Kok Lay Uncertain portfolio optimization problem under a minimax risk measure. (English) Zbl 1481.91195 Appl. Math. Modelling 76, 274-281 (2019). MSC: 91G10 90C15 90C47 91G70 PDFBibTeX XMLCite \textit{B. Li} et al., Appl. Math. Modelling 76, 274--281 (2019; Zbl 1481.91195) Full Text: DOI
Li, Xiaolong; Ke, Jiannan Robust assortment optimization using worst-case CVaR under the multinomial logit model. (English) Zbl 1476.91081 Oper. Res. Lett. 47, No. 5, 452-457 (2019). MSC: 91B42 90C15 90C47 PDFBibTeX XMLCite \textit{X. Li} and \textit{J. Ke}, Oper. Res. Lett. 47, No. 5, 452--457 (2019; Zbl 1476.91081) Full Text: DOI
Guo, Shaoyan; Xu, Huifu Distributionally robust shortfall risk optimization model and its approximation. (English) Zbl 1421.90097 Math. Program. 174, No. 1-2 (B), 473-498 (2019). MSC: 90C15 90C47 90C31 91B30 PDFBibTeX XMLCite \textit{S. Guo} and \textit{H. Xu}, Math. Program. 174, No. 1--2 (B), 473--498 (2019; Zbl 1421.90097) Full Text: DOI
Fang, Yi-Ping; Zio, Enrico An adaptive robust framework for the optimization of the resilience of interdependent infrastructures under natural hazards. (English) Zbl 1430.90575 Eur. J. Oper. Res. 276, No. 3, 1119-1136 (2019). MSC: 90C90 90C47 90C31 PDFBibTeX XMLCite \textit{Y.-P. Fang} and \textit{E. Zio}, Eur. J. Oper. Res. 276, No. 3, 1119--1136 (2019; Zbl 1430.90575) Full Text: DOI HAL
Filippi, Carlo; Ogryczak, Włodzimierz; Speranza, M. Grazia Bridging \(k\)-sum and CVaR optimization in MILP. (English) Zbl 1458.90483 Comput. Oper. Res. 105, 156-166 (2019). MSC: 90C11 90C05 90C15 90C27 90C35 PDFBibTeX XMLCite \textit{C. Filippi} et al., Comput. Oper. Res. 105, 156--166 (2019; Zbl 1458.90483) Full Text: DOI
Rahimian, Hamed; Bayraksan, Güzin; Homem-de-Mello, Tito Identifying effective scenarios in distributionally robust stochastic programs with total variation distance. (English) Zbl 1410.90142 Math. Program. 173, No. 1-2 (A), 393-430 (2019). MSC: 90C15 90C47 PDFBibTeX XMLCite \textit{H. Rahimian} et al., Math. Program. 173, No. 1--2 (A), 393--430 (2019; Zbl 1410.90142) Full Text: DOI
Deng, Yan; Ahmed, Shabbir; Shen, Siqian Parallel scenario decomposition of risk-averse 0-1 stochastic programs. (English) Zbl 1528.90166 INFORMS J. Comput. 30, No. 1, 90-105 (2018). MSC: 90C15 90C47 68W15 PDFBibTeX XMLCite \textit{Y. Deng} et al., INFORMS J. Comput. 30, No. 1, 90--105 (2018; Zbl 1528.90166) Full Text: DOI Link
Kumar, P.; Panda, G.; Gupta, U. C. Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters. (English) Zbl 1402.90106 Sādhanā 43, No. 9, Paper No. 149, 16 p. (2018). MSC: 90C15 91G10 91G80 PDFBibTeX XMLCite \textit{P. Kumar} et al., Sādhanā 43, No. 9, Paper No. 149, 16 p. (2018; Zbl 1402.90106) Full Text: DOI Link
Ling, Aifan; Sun, Jie; Xiu, Naihua; Yang, Xiaoguang Robust two-stage stochastic linear optimization with risk aversion. (English) Zbl 1394.90449 Eur. J. Oper. Res. 256, No. 1, 215-229 (2017). MSC: 90C15 90C05 91B30 90C22 90C47 PDFBibTeX XMLCite \textit{A. Ling} et al., Eur. J. Oper. Res. 256, No. 1, 215--229 (2017; Zbl 1394.90449) Full Text: DOI Link
Zhang, Yuchen; Xiao, Lin Stochastic primal-dual coordinate method for regularized empirical risk minimization. (English) Zbl 1440.62314 J. Mach. Learn. Res. 18(2017-2018), Paper No. 84, 42 p. (2017). MSC: 62L20 62C20 90C15 47N10 PDFBibTeX XMLCite \textit{Y. Zhang} and \textit{L. Xiao}, J. Mach. Learn. Res. 18, Paper No. 84, 42 p. (2017; Zbl 1440.62314) Full Text: arXiv Link
Shapiro, Alexander Distributionally robust stochastic programming. (English) Zbl 1373.90089 SIAM J. Optim. 27, No. 4, 2258-2275 (2017). MSC: 90C15 90C47 91B30 PDFBibTeX XMLCite \textit{A. Shapiro}, SIAM J. Optim. 27, No. 4, 2258--2275 (2017; Zbl 1373.90089) Full Text: DOI
Atamtürk, Alper; Gómez, Andrés Maximizing a class of utility functions over the vertices of a polytope. (English) Zbl 1366.90173 Oper. Res. 65, No. 2, 433-445 (2017). MSC: 90C27 90C20 90C47 PDFBibTeX XMLCite \textit{A. Atamtürk} and \textit{A. Gómez}, Oper. Res. 65, No. 2, 433--445 (2017; Zbl 1366.90173) Full Text: DOI Link
Sharma, Amita; Mehra, Aparna Extended omega ratio optimization for risk-averse investors. (English) Zbl 1367.91202 Int. Trans. Oper. Res. 24, No. 3, 485-506 (2017). MSC: 91G70 91G10 90C90 PDFBibTeX XMLCite \textit{A. Sharma} and \textit{A. Mehra}, Int. Trans. Oper. Res. 24, No. 3, 485--506 (2017; Zbl 1367.91202) Full Text: DOI
Liu, Yongchao; Meskarian, Rudabeh; Xu, Huifu Distributionally robust reward-risk ratio optimization with moment constraints. (English) Zbl 1365.90179 SIAM J. Optim. 27, No. 2, 957-985 (2017). MSC: 90C15 90C34 90C47 PDFBibTeX XMLCite \textit{Y. Liu} et al., SIAM J. Optim. 27, No. 2, 957--985 (2017; Zbl 1365.90179) Full Text: DOI
Emelichev, Vladimir; Bukhtoyarov, Sergey; Mychkov, Vadzim An investment problem under multicriteriality, uncertainty and risk. (English) Zbl 1371.90085 Bul. Acad. Ştiinţe Repub. Mold., Mat. 2016, No. 3(82), 82-98 (2016). MSC: 90C09 90C29 90C31 90C47 PDFBibTeX XMLCite \textit{V. Emelichev} et al., Bul. Acad. Științe Repub. Mold., Mat. 2016, No. 3(82), 82--98 (2016; Zbl 1371.90085) Full Text: Link
Goldenschluger, Alexander Nonparametric estimation of the service time distribution in the \(\mathrm{M}/\mathrm{G}/\infty\) queue. (English) Zbl 1356.62125 Adv. Appl. Probab. 48, No. 4, 1117-1138 (2016). MSC: 62M09 60K25 62G05 90B22 PDFBibTeX XMLCite \textit{A. Goldenschluger}, Adv. Appl. Probab. 48, No. 4, 1117--1138 (2016; Zbl 1356.62125) Full Text: DOI arXiv Euclid
Shapiro, Alexander Rectangular sets of probability measures. (English) Zbl 1342.90118 Oper. Res. 64, No. 2, 528-541 (2016). MSC: 90C15 90C40 90C47 PDFBibTeX XMLCite \textit{A. Shapiro}, Oper. Res. 64, No. 2, 528--541 (2016; Zbl 1342.90118) Full Text: DOI Link
Haus, Utz-Uwe Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems. (English) Zbl 1408.91100 Oper. Res. Lett. 43, No. 1, 74-79 (2015). MSC: 91B30 90C47 PDFBibTeX XMLCite \textit{U.-U. Haus}, Oper. Res. Lett. 43, No. 1, 74--79 (2015; Zbl 1408.91100) Full Text: DOI arXiv
Bertsimas, Dimitris; Takeda, Akiko Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach. (English) Zbl 1357.90174 Comput. Optim. Appl. 62, No. 3, 613-639 (2015). MSC: 90C47 90C11 91G10 PDFBibTeX XMLCite \textit{D. Bertsimas} and \textit{A. Takeda}, Comput. Optim. Appl. 62, No. 3, 613--639 (2015; Zbl 1357.90174) Full Text: DOI Link
Peng, Jiming; Zhu, Tao A nonlinear semidefinite optimization relaxation for the worst-case linear optimization under uncertainties. (English) Zbl 1327.90106 Math. Program. 152, No. 1-2 (A), 593-614 (2015). MSC: 90C05 90C22 90C26 90C47 PDFBibTeX XMLCite \textit{J. Peng} and \textit{T. Zhu}, Math. Program. 152, No. 1--2 (A), 593--614 (2015; Zbl 1327.90106) Full Text: DOI
Xin, Chunlin; Qingge, Letu; Wang, Jiamin; Zhu, Binhai Robust optimization for the hazardous materials transportation network design problem. (English) Zbl 1327.90357 J. Comb. Optim. 30, No. 2, 320-334 (2015). MSC: 90C35 90C47 90C59 PDFBibTeX XMLCite \textit{C. Xin} et al., J. Comb. Optim. 30, No. 2, 320--334 (2015; Zbl 1327.90357) Full Text: DOI
Sun, Yufei; Aw, Grace; Teo, Kok Lay; Zhou, Guanglu Portfolio optimization using a new probabilistic risk measure. (English) Zbl 1315.90025 J. Ind. Manag. Optim. 11, No. 4, 1275-1283 (2015). MSC: 90C05 90C20 90C90 91G10 91G80 PDFBibTeX XMLCite \textit{Y. Sun} et al., J. Ind. Manag. Optim. 11, No. 4, 1275--1283 (2015; Zbl 1315.90025) Full Text: DOI
Toso, Eli Angela V.; Alem, Douglas Effective location models for sorting recyclables in public management. (English) Zbl 1304.90127 Eur. J. Oper. Res. 234, No. 3, 839-860 (2014). MSC: 90B80 90B90 90C15 PDFBibTeX XMLCite \textit{E. A. V. Toso} and \textit{D. Alem}, Eur. J. Oper. Res. 234, No. 3, 839--860 (2014; Zbl 1304.90127) Full Text: DOI
Donoho, David; Gavish, Matan Minimax risk of matrix denoising by singular value thresholding. (English) Zbl 1310.62014 Ann. Stat. 42, No. 6, 2413-2440 (2014). MSC: 62C20 62H25 90C25 90C22 PDFBibTeX XMLCite \textit{D. Donoho} and \textit{M. Gavish}, Ann. Stat. 42, No. 6, 2413--2440 (2014; Zbl 1310.62014) Full Text: DOI arXiv Euclid
Tong, Xiaojiao; Wu, Felix Robust reward-risk ratio optimization with application in allocation of generation asset. (English) Zbl 1305.91225 Optimization 63, No. 11, 1761-1779 (2014). MSC: 91G10 91G80 90C47 PDFBibTeX XMLCite \textit{X. Tong} and \textit{F. Wu}, Optimization 63, No. 11, 1761--1779 (2014; Zbl 1305.91225) Full Text: DOI
Alem, Douglas; Morabito, Reinaldo Risk-averse two-stage stochastic programs in furniture plants. (English) Zbl 1290.90036 OR Spectrum 35, No. 4, 773-806 (2013). MSC: 90B30 90B15 PDFBibTeX XMLCite \textit{D. Alem} and \textit{R. Morabito}, OR Spectrum 35, No. 4, 773--806 (2013; Zbl 1290.90036) Full Text: DOI
Emelichev, V. A.; Korotkov, V. V. Stability radius of a vector investment problem with Savage’s minimax risk criteria. (English. Russian original) Zbl 1298.91135 Cybern. Syst. Anal. 48, No. 3, 378-386 (2012); translation from Kibern. Sist. Anal. 2012, No. 3, 68-77 (2012). MSC: 91G10 90C47 PDFBibTeX XMLCite \textit{V. A. Emelichev} and \textit{V. V. Korotkov}, Cybern. Syst. Anal. 48, No. 3, 378--386 (2012; Zbl 1298.91135); translation from Kibern. Sist. Anal. 2012, No. 3, 68--77 (2012) Full Text: DOI
Pham, Khanh D.; Pachter, Meir Modeling interactions in complex systems: self-coordination, game-theoretic design protocols, and performance reliability-aided decision making. (English) Zbl 1268.93020 Sorokin, Alexey (ed.) et al., Dynamics of information systems: mathematical foundations. New York, NY: Springer (ISBN 978-1-4614-3905-9/hbk; 978-1-4614-3906-6/ebook). Springer Proceedings in Mathematics & Statistics 20, 329-373 (2012). MSC: 93A30 90B50 91A15 93E03 PDFBibTeX XMLCite \textit{K. D. Pham} and \textit{M. Pachter}, Springer Proc. Math. Stat. 20, 329--373 (2012; Zbl 1268.93020) Full Text: DOI
Kang, Zhilin; Zeng, Yan Optimal portfolio strategy under minimax criterion with constraints. (Chinese. English summary) Zbl 1274.91386 J. Syst. Eng. 27, No. 5, 656-667 (2012). MSC: 91G10 90C47 PDFBibTeX XMLCite \textit{Z. Kang} and \textit{Y. Zeng}, J. Syst. Eng. 27, No. 5, 656--667 (2012; Zbl 1274.91386)
Shapiro, Alexander Minimax and risk averse multistage stochastic programming. (English) Zbl 1253.90181 Eur. J. Oper. Res. 219, No. 3, 719-726 (2012). MSC: 90C15 90C47 PDFBibTeX XMLCite \textit{A. Shapiro}, Eur. J. Oper. Res. 219, No. 3, 719--726 (2012; Zbl 1253.90181) Full Text: DOI
Lin, Jun; Ng, Tsan Sheng Robust multi-market newsvendor models with interval demand data. (English) Zbl 1237.90016 Eur. J. Oper. Res. 212, No. 2, 361-373 (2011). MSC: 90B05 90B50 90C59 PDFBibTeX XMLCite \textit{J. Lin} and \textit{T. S. Ng}, Eur. J. Oper. Res. 212, No. 2, 361--373 (2011; Zbl 1237.90016) Full Text: DOI
Emelichev, V. A.; Korotkov, V. V. Estimates for the radius of stability for the lexicographic optimum of the vector Boolean problem with Savage’s risk criteria. (Russian) Zbl 1249.90163 Diskretn. Anal. Issled. Oper. 18, No. 2, 41-50 (2011). MSC: 90C09 PDFBibTeX XMLCite \textit{V. A. Emelichev} and \textit{V. V. Korotkov}, Diskretn. Anal. Issled. Oper. 18, No. 2, 41--50 (2011; Zbl 1249.90163)
Emelichev, Vladimir; Korotkov, Vladimir On stability radius of the multicriteria variant of Markowitz’s investment portfolio problem. (English) Zbl 1244.90205 Bul. Acad. Ştiinţe Repub. Mold., Mat. 2011, No. 1(65), 83-94 (2011). MSC: 90C29 90C09 90C31 90C47 PDFBibTeX XMLCite \textit{V. Emelichev} and \textit{V. Korotkov}, Bul. Acad. Științe Repub. Mold., Mat. 2011, No. 1(65), 83--94 (2011; Zbl 1244.90205) Full Text: Link
Alguacil, Natalia; Arroyo, José M.; Carrión, Miguel Transmission network expansion planning under deliberate outages. (English) Zbl 1359.90013 Rebennack, Steffen (ed.) et al., Handbook of power systems. I. Berlin: Springer (ISBN 978-3-642-02492-4/hbk; 978-3-642-02493-1/ebook). Energy Systems, 365-389 (2010). MSC: 90B10 90C11 PDFBibTeX XMLCite \textit{N. Alguacil} et al., in: Handbook of power systems. I. Berlin: Springer. 365--389 (2010; Zbl 1359.90013) Full Text: DOI
Emelichev, Vladimir; Korotkov, Vladimir; Kuzmin, Kirill On stability of Pareto-optimal solution of portfolio optimization problem with Savage’s minimax risk criteria. (English) Zbl 1242.90105 Bul. Acad. Ştiinţe Repub. Mold., Mat. 2010, No. 3(64), 35-44 (2010). MSC: 90C09 90C29 90C31 90C47 PDFBibTeX XMLCite \textit{V. Emelichev} et al., Bul. Acad. Științe Repub. Mold., Mat. 2010, No. 3(64), 35--44 (2010; Zbl 1242.90105) Full Text: Link
Bertsimas, Dimitris; Doan, Xuan Vinh; Natarajan, Karthik; Teo, Chung-Piaw Models for minimax stochastic linear optimization problems with risk aversion. (English) Zbl 1218.90215 Math. Oper. Res. 35, No. 3, 580-602 (2010). MSC: 90C47 90C22 90C46 PDFBibTeX XMLCite \textit{D. Bertsimas} et al., Math. Oper. Res. 35, No. 3, 580--602 (2010; Zbl 1218.90215) Full Text: DOI
Baker, Rose Risk aversion in maintenance: a utility-based approach. (English) Zbl 1202.90095 IMA J. Manag. Math. 21, No. 4, 319-332 (2010). MSC: 90B25 91B16 PDFBibTeX XMLCite \textit{R. Baker}, IMA J. Manag. Math. 21, No. 4, 319--332 (2010; Zbl 1202.90095) Full Text: DOI
Elishakoff, Isaac; Ohsaki, Makoto Optimization and anti-optimization of structures under uncertainty. (English) Zbl 1196.90004 London: Imperial College Press (ISBN 978-1-84816-477-2/hbk; 978-1-84816-478-9/ebook). xxii, 402 p. (2010). Reviewer: Kurt Marti (München) MSC: 90-02 90C47 74P99 90C90 PDFBibTeX XMLCite \textit{I. Elishakoff} and \textit{M. Ohsaki}, Optimization and anti-optimization of structures under uncertainty. London: Imperial College Press (2010; Zbl 1196.90004) Full Text: Link
El Mouatasim, A.; Al-Hossain, A. Reduced gradient method for minimax estimation of a bounded Poisson mean. (English) Zbl 1375.62002 J. Stat., Adv. Theory Appl. 2, No. 2, 185-199 (2009). MSC: 62F15 62F10 62C20 90C26 PDFBibTeX XMLCite \textit{A. El Mouatasim} and \textit{A. Al-Hossain}, J. Stat., Adv. Theory Appl. 2, No. 2, 185--199 (2009; Zbl 1375.62002)
Treviño-Aguilar, Erick Robust efficient hedging for American options: the existence of worst case probability measures. (English) Zbl 1179.91238 Stat. Decis. 27, No. 1, 1-23 (2009). MSC: 91G20 90C47 91G80 PDFBibTeX XMLCite \textit{E. Treviño-Aguilar}, Stat. Decis. 27, No. 1, 1--23 (2009; Zbl 1179.91238) Full Text: DOI
Schied, Alexander Robust optimal control for a consumption-investment problem. (English) Zbl 1145.91027 Math. Methods Oper. Res. 67, No. 1, 1-20 (2008). Reviewer: Christian-Oliver Ewald (St. Andrews) MSC: 91B28 49L20 90C47 60H10 PDFBibTeX XMLCite \textit{A. Schied}, Math. Methods Oper. Res. 67, No. 1, 1--20 (2008; Zbl 1145.91027) Full Text: DOI Link
Shapiro, Alexander Asymptotics of minimax stochastic programs. (English) Zbl 1171.90543 Stat. Probab. Lett. 78, No. 2, 150-157 (2008). MSC: 90C47 90C15 PDFBibTeX XMLCite \textit{A. Shapiro}, Stat. Probab. Lett. 78, No. 2, 150--157 (2008; Zbl 1171.90543) Full Text: DOI
Calafiore, Giuseppe C. Ambiguous risk measures and optimal robust portfolios. (English) Zbl 1154.91022 SIAM J. Optim. 18, No. 3, 853-877 (2007). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91B28 90B50 90C25 90C47 90C51 90C90 PDFBibTeX XMLCite \textit{G. C. Calafiore}, SIAM J. Optim. 18, No. 3, 853--877 (2007; Zbl 1154.91022) Full Text: DOI
Umezawa, Yuji The minimal risk of hedging with a convex risk measure. (English) Zbl 1187.91112 Kusuoka, Shigeo (ed.) et al., Advances in mathematical economics. Vol. 9. Tokyo: Springer (ISBN 4-431-34341-5/hbk). Advances in Mathematical Economics 9, 109-116 (2006). MSC: 91B30 91G20 90C47 PDFBibTeX XMLCite \textit{Y. Umezawa}, Adv. Math. Econ. 9, 109--116 (2006; Zbl 1187.91112) Full Text: DOI
Čerbáková, Jana Worst-case VaR and CVaR. (English) Zbl 1103.62102 Haasis, Hans-Dietrich (ed.) et al., Operations research proceedings 2005. Selected papers of the annual international conference of the German Operations Research Society (GOR), Bremen, Germany, September 7–9, 2005. Berlin: Springer (ISBN 3-540-32537-9/pbk). 817-822 (2006). MSC: 62P05 90C47 91B30 PDFBibTeX XMLCite \textit{J. Čerbáková}, in: Operations research proceedings 2005. Selected papers of the annual international conference of the German Operations Research Society (GOR), Bremen, Germany, September 7--9, 2005. Berlin: Springer. 817--822 (2006; Zbl 1103.62102)
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael Generalized deviations in risk analysis. (English) Zbl 1150.90006 Finance Stoch. 10, No. 1, 51-74 (2006). Reviewer: Yuliya Mishura MSC: 90C25 90C30 90C46 90C47 PDFBibTeX XMLCite \textit{R. T. Rockafellar} et al., Finance Stoch. 10, No. 1, 51--74 (2006; Zbl 1150.90006) Full Text: DOI
Zhukovskaya, L. V. A new approach to risk estimation in multicriteria automatic control systems. I. (English. Russian original) Zbl 1114.90420 Autom. Remote Control 66, No. 1, 148-153 (2005); translation from Avtom. Telemekh. 66, No. 1, 164-170 (2005). MSC: 90B50 90C29 91B30 90C47 93A10 93C83 PDFBibTeX XMLCite \textit{L. V. Zhukovskaya}, Autom. Remote Control 66, No. 1, 148--153 (2005; Zbl 1114.90420); translation from Avtom. Telemekh. 66, No. 1, 164--170 (2005) Full Text: DOI
Zhukovskaya, L. V.; Mirkin, E. A. A new approach to risk estimation in multicriteria automatic control systems. II. (English. Russian original) Zbl 1114.90421 Autom. Remote Control 66, No. 3, 503-510 (2005); translation from Avtom. Telemekh. 2005, No. 3, 181-189 (2005). MSC: 90B50 90C29 90C47 91B30 93A10 93C83 PDFBibTeX XMLCite \textit{L. V. Zhukovskaya} and \textit{E. A. Mirkin}, Autom. Remote Control 66, No. 3, 503--510 (2005; Zbl 1114.90421); translation from Avtom. Telemekh. 2005, No. 3, 181--189 (2005) Full Text: DOI
Daniele, P.; Giuffré, S.; Pia, S. Competitive financial equilibrium problems with policy interventions. (English) Zbl 1140.91382 J. Ind. Manag. Optim. 1, No. 1, 39-52 (2005). MSC: 91G15 91G45 90C47 PDFBibTeX XMLCite \textit{P. Daniele} et al., J. Ind. Manag. Optim. 1, No. 1, 39--52 (2005; Zbl 1140.91382) Full Text: DOI
Zhukovskaya, L. V.; Mikrin, E. A. A new approach to estimation of the effectiveness of control decisions under conditions of risk in ACS’s. (English. Russian original) Zbl 1082.90052 Autom. Remote Control 65, No. 4, 654-659 (2004); translation from Avtom. Telemekh. 2004, No. 4, 166-172 (2004). MSC: 90B50 90C47 91A35 91B30 93A10 PDFBibTeX XMLCite \textit{L. V. Zhukovskaya} and \textit{E. A. Mikrin}, Autom. Remote Control 65, No. 4, 654--659 (2004; Zbl 1082.90052); translation from Avtom. Telemekh. 2004, No. 4, 166--172 (2004) Full Text: DOI
Gordy, Michael B. Saddlepoint approximation. (English) Zbl 1095.91031 Gundlach, Matthias (ed.) et al., CreditRisk\(^+\) in the banking industry. Berlin: Springer (ISBN 3-540-20738-4/hbk). Springer Finance, 91-110 (2004). MSC: 91B30 90C47 PDFBibTeX XMLCite \textit{M. B. Gordy}, in: CreditRisk\(^+\) in the banking industry. Berlin: Springer. 91--110 (2004; Zbl 1095.91031)
Shapiro, Alexander; Ahmed, Shabbir On a class of minimax stochastic programs. (English) Zbl 1073.90027 SIAM J. Optim. 14, No. 4, 1237-1249 (2004). MSC: 90C15 90C47 PDFBibTeX XMLCite \textit{A. Shapiro} and \textit{S. Ahmed}, SIAM J. Optim. 14, No. 4, 1237--1249 (2004; Zbl 1073.90027) Full Text: DOI
Augustin, Thomas Optimal decisions under complex uncertainty - basic notions and a general algorithm for data-based decision making with partial prior knowledge described by interval probability. (English) Zbl 1056.62009 ZAMM, Z. Angew. Math. Mech. 84, No. 10-11, 678-687 (2004). MSC: 62C99 62P30 62A01 90C90 90C05 PDFBibTeX XMLCite \textit{T. Augustin}, ZAMM, Z. Angew. Math. Mech. 84, No. 10--11, 678--687 (2004; Zbl 1056.62009) Full Text: DOI
Avduevskij, V. S.; Bakulin, V. N.; Malkov, S. Yu.; Nazarenko, V. A. On account of uncertainty in formulation of requirements to robustness of complicated technical systems. (Russian) Zbl 1048.91033 Dokl. Akad. Nauk, Ross. Akad. Nauk 395, No. 1, 26-29 (2004); translation in Dokl. Math. 69, No. 2, 296-298 (2004). Reviewer: Andrei Zemskov (Moskva) MSC: 91B06 62C20 90B50 91B30 PDFBibTeX XMLCite \textit{V. S. Avduevskij} et al., Dokl. Akad. Nauk, Ross. Akad. Nauk 395, No. 1, 26--29 (2004; Zbl 1048.91033); translation in Dokl. Math. 69, No. 2, 296--298 (2004)
Ugrinovskii, Valery A.; Petersen, Ian R. Minimax LQG control of stochastic partially observed uncertain systems. (English) Zbl 1016.93072 SIAM J. Control Optimization 40, No. 4, 1189-1226 (2001). Reviewer: Mikhail P.Moklyachuk (Kyïv) MSC: 93E20 93C41 93B35 93E03 49N10 90C47 PDFBibTeX XMLCite \textit{V. A. Ugrinovskii} and \textit{I. R. Petersen}, SIAM J. Control Optim. 40, No. 4, 1189--1226 (2001; Zbl 1016.93072) Full Text: DOI
Teo, K. L.; Yang, X. Q. Portfolio selection problem with minimax type risk function. (English) Zbl 1016.91058 Ann. Oper. Res. 101, 333-349 (2001). MSC: 91G10 91B30 90C90 PDFBibTeX XMLCite \textit{K. L. Teo} and \textit{X. Q. Yang}, Ann. Oper. Res. 101, 333--349 (2001; Zbl 1016.91058) Full Text: DOI
Coraluppi, Stefano P.; Marcus, Steven I. Mixed risk-neutral/minimax control of discrete-time, finite-state Markov decision processes. (English) Zbl 0978.93084 IEEE Trans. Autom. Control 45, No. 3, 528-532 (2000). Reviewer: M.Nisio (Osaka) MSC: 93E20 90C40 PDFBibTeX XMLCite \textit{S. P. Coraluppi} and \textit{S. I. Marcus}, IEEE Trans. Autom. Control 45, No. 3, 528--532 (2000; Zbl 0978.93084) Full Text: DOI Link
Gourdin, Eric; Jaumard, Brigitte; MacGibbon, Brenda Global optimization decomposition methods for bounded parameter minimax risk evaluation. (English) Zbl 0798.65136 SIAM J. Sci. Comput. 15, No. 1, 16-35 (1994). Reviewer: J.Antoch (Praha) MSC: 65C99 65K05 90C26 62-04 62F10 PDFBibTeX XMLCite \textit{E. Gourdin} et al., SIAM J. Sci. Comput. 15, No. 1, 16--35 (1994; Zbl 0798.65136) Full Text: DOI
Tsodikov, A. D.; Yakovlev, A. Yu. Optimal preventive examination strategy with competing risks. (English. Russian original) Zbl 0739.90040 Autom. Remote Control 52, No. 3, 385-391 (1991); translation from Avtom. Telemekh. 1991, No. 3, 104-112 (1991). MSC: 90B90 49J55 92C50 49J35 90B25 PDFBibTeX XMLCite \textit{A. D. Tsodikov} and \textit{A. Yu. Yakovlev}, Autom. Remote Control 52, No. 3, 385--391 (1991; Zbl 0739.90040); translation from Avtom. Telemekh. 1991, No. 3, 104--112 (1991)
Fabian, Václav A local asymptotic minimax optimality of an adaptive Robbins-Monro stochastic approximation procedure. (English) Zbl 0533.62075 Mathematical learning models - theory and algorithms, Proc. Conf., Bad Honnef/Ger. 1982, Lect. Notes Stat. 20, 43-49 (1983). Reviewer: A.Sebö MSC: 62L20 90C15 90C99 PDFBibTeX XML
Schäl, Manfred On dynamic programming and statistical decision theory. (English) Zbl 0417.62002 Ann. Stat. 7, 432-445 (1979). MSC: 62C05 90C39 60K20 62L15 49L20 PDFBibTeX XMLCite \textit{M. Schäl}, Ann. Stat. 7, 432--445 (1979; Zbl 0417.62002) Full Text: DOI