Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance.
Daniel BartlJohannes WieselPublished in: SIAM J. Financial Math. (2023)
Keyphrases
- optimization problems
- evolutionary algorithm
- cost function
- optimization methods
- distance measure
- sensitivity analysis
- euclidean distance
- objective function
- pointwise
- high sensitivity
- database
- data sets
- distance transform
- inventory models
- minimum distance
- optimization criteria
- metaheuristic
- combinatorial optimization
- distance metric
- dynamic programming
- search space
- case study
- decision trees
- real time