Distributionally robust models for multistage stochastic optimisation
Projects
Methods research · Optimisation
Distributionally robust models for multistage stochastic optimisation
Multistage decisions that remain good even when the probability distribution of uncertain variables is not precisely known.
Objective
PurposeTo develop new models, theory and algorithms for dynamic optimisation problems that build in robustness with respect to the probability distribution of random variables, useful when that distribution is hard to specify.
Facts
DataInstitutionUniversidad Adolfo Ibáñez · CENTRA
AreasStochastic optimisation · Distributional robustness · Algorithms
Team
UAI · CENTRA
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