Price of Correlations in Stochastic Optimization
Published Online:1 Feb 2012https://doi.org/10.1287/opre.1110.1011
References
- Correlation robust stochastic optimization. SODA '10: Proc. 16th Annual ACM-SIAM Sympos. Discrete Algorithms (2010) (SIAM, Philadelphia) Crossref, Google Scholar
- The sample average approximation method for stochastic programs with integer recourse. SIAM J. Optim. (2002) 12(2):479–502Crossref, Google Scholar
- A Monge property for the d-dimensional transportation problem. Discrete Appl. Math. (1995) 58(2):97–109Crossref, Google Scholar
- Robust optimization—Methodology and applications. Math. Programming (2001) 92(3):453–480Crossref, Google Scholar
- Robust convex optimization. Math. Oper. Res. (1998) 23(4):769–805Link, Google Scholar
- Robust solutions of linear programming problems contaminated with uncertain data. Math. Programming (2000) 88:411–424Crossref, Google Scholar
- A d/2 approximation for maximum weight independent set in d-claw free graphs. Nordic J. Comput. (2000) 7:178–184Google Scholar
- Optimal inequalities in probability theory: A convex optimization approach. SIAM J. Optim. (2005) 15(3):780–804Crossref, Google Scholar
- The price of robustness. Oper. Res. (2004) 52(1):35–53Link, Google Scholar
- Probabilistic combinatorial optimization: Moments, semidefinite programming, and asymptotic bounds. SIAM J. Optim. (2005) 15:185–209Crossref, Google Scholar
- Moment Problems and Semidefinite Programming (2000) (Kluwer Academic Publishers, Norwell, MA) Google Scholar
- Perspectives of Monge properties in optimization. Discrete Appl. Math. (1996) 70(2):95–161Crossref, Google Scholar
- Maximizing a submodular set function subject to a matroid constraint (extended abstract). (2007) (IPCO, Springer-Verlag, Berlin) 182–196Crossref, Google Scholar
- Sampling bounds for stochastic optimization. APPROX-RANDOM (2005) 3624(Springer)257–269Crossref, Google Scholar
- A robust optimization perspective on stochastic programming. Oper. Res. (2007) 55(6):1058–1071Link, Google Scholar
- Distributionally robust optimization under moment uncertainty with application to data-driven problems. Oper. Res. (2010) 58:595–612Link, Google Scholar
- On two methods for solving the bottleneck matching problem. Lecture Notes in Control and Inform. Sci. (1980) 23:176–184Crossref, Google Scholar
- The minimax approach to stochastic programming and an illustrative application. Stochastics (1987) 20(1):73–88Crossref, Google Scholar
- Stochastic programming: Minimax approach. Encyclopedia of Optimization (2001) 5(Kluwer Academic Publishers, Boston) 327–330Crossref, Google Scholar
- Stochastic optimization problems with incomplete information on distribution functions. SIAM J. Control Optim. (1985) 23:697–716Crossref, Google Scholar
- A numerical method for solving stochastic programming problems with moment constraints on a distribution function. Ann. Oper. Res. (1991) 31(1):347–369Crossref, Google Scholar
- Distributionally robust optimization and its tractable approximations. Oper. Res. (2010) 58(4):902–917Link, Google Scholar
- Geometric Algorithms and Combinatorial Optimization (1988) (Springer, Berlin) Crossref, Google Scholar
- Walrasian equilibrium with gross substitutes. J. Econom. Theory (1999) 87(1):95–124Crossref, Google Scholar
- Boosted sampling: Approximation algorithms for stochastic optimization. Proc. 36th Annual ACM Sympos. Theory Comput. (2004) (ACM, New York) 417–426Crossref, Google Scholar
- On the complexity of approximating k-set packing. Comput. Complexity (2006) 15(1):20–39Crossref, Google Scholar
- On the size of systems of sets every t of which have an SDR, with an application to the worst-case ratio of heuristics for packing problems. SIAM J. Discrete Math. (1989) 2(1):68–72Crossref, Google Scholar
- Limitations of cross-monotonic costsharing schemes. ACM Trans. Algorithms (2008) 4(2):1–25Crossref, Google Scholar
- Job matching, coalition formation, and gross substitutes. Econometrica: J. Econometric Soc. (1982) 50(6):1483–1504Crossref, Google Scholar
- A note on Poisson maxima. Probab. Theory Related Fields (1983) 63:551–552Google Scholar
- Robustness against dependence in PERT: An application of duality and distributions with known marginals. Math. Programming Stud. (1986) 27:153–182Crossref, Google Scholar
- Allocating bandwidth for bursty connections. Proc. 29th Annual ACM Sympos. Theory Computing. STOC '97 (1997) (ACM, New York) 664–673Crossref, Google Scholar
- A group-strategyproof mechanism for Steiner forests. Proc. 16th Annual ACM-SIAM Sympos. Discrete Algorithms, SODA '05 (2005) (SIAM, Philadelphia) 612–619Google Scholar
- Distributionally robust Monte Carlo simulation: A tutorial survey. Proc. IFAC World Congress (2002) 1–12Crossref, Google Scholar
- Moments in Mathematics: Lecture Notes Prepared for the AMS Short Course (1987) (American Mathematical Society, Providence, RI) Crossref, Google Scholar
- Cross-monotonic cost-sharing methods for connected facility location games. EC '04: Proc. 5th ACM Conf. Electronic Commerce (2004) (ACM, New York) 242–243Crossref, Google Scholar
- Universal facility location. Proc. ESA 03 (2003) (Springer, Berlin) 409–421Crossref, Google Scholar
- Approximation in stochastic scheduling: The power of LP-based priority policies. J. ACM (1999) 46(6):924–942Crossref, Google Scholar
- Incremental cost sharing: Characterization by coalition strategy-proofness. Social Choice Welfare (1999) 16:279–320Crossref, Google Scholar
- Strategyproof sharing of submodular costs: budget balance versus efficiency. Econom. Theory (2001) 18(3):511–533Crossref, Google Scholar
- Algorithmic Game Theory (2007) (Cambridge University Press, New York) Crossref, Google Scholar
- Group strategyproof mechanisms via primal-dual algorithms. Proc. 44th Annual IEEE Sympos. Foundations Comput. Sci. FOCS '03 (2003) (IEEE Computer Society, Washington, DC) 584–593Google Scholar
- Robust mean-covariance solutions for stochastic optimization. Oper. Res. (2007) 55(1):98–112Link, Google Scholar
- Stochastic Programming (1995) (Kluwer Academic Publishers, Norwell, MA) Crossref, Google Scholar
- Moments of non-negative mass. Proc. Royal Soc. London. Series A, Math. Physical Sci. (1958) 245(1240):1–27Crossref, Google Scholar
- Ruszczynski A., Shapiro A.Stochastic Programming (2003) 10(Elsevier, Amsterdam) Handbooks in Operations Research and Management ScienceCrossref, Google Scholar
- , Arrow K. J., Karlin S., Scarf H. E. A min-max solution of an inventory problem. Studies in the Mathematical Theory of Inventory and Production (1958) (Stanford University Press, Stanford, CA) 201–209Google Scholar
- Worst-case distribution analysis of stochastic programs. Math. Programming (2006) 107(1):91–96Crossref, Google Scholar
- On a class of minimax stochastic programs. SIAM J. Optim. (2004) 14(4):1237–1252Crossref, Google Scholar
- Minimax analysis of stochastic problems. Optim. Methods Software (2002) 17(3):523–542Crossref, Google Scholar
- Sampling-based approximation algorithms for multistage stochastic optimization. Proc. 46th Annual IEEE Sympos. Foundations Comput. Sci. (2005) (IEEE Computer Society, Washington, DC) 357–366Crossref, Google Scholar
- Optimal approximation for the submodular welfare problem in the value oracle model. STOC '08: Proc. 40th Annual ACM Sympos. Theory Comput. (2008) (ACM, New York) 67–74Crossref, Google Scholar
- Expected value of distribution information for the newsvendor problem. Oper. Res. (2006) 54(6):1128–1136Link, Google Scholar
- On minimax solutions of stochastic linear programming problems. Časopis Pro Pěstování Matematiky (1966) 91(4):423–430Google Scholar

