A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics.

Di Wu Helin Zhu Enlu Zhou

Published in: SIAM J. Optim. (2018)

Keyphrases

stochastic optimization
data driven
multistage
markov chain
risk management
risk assessment
decision making
risk factors
robust optimization
bayesian networks
search algorithm
posterior probability
optimization methods
expected utility
heavy traffic