Nonconcave robust optimization with discrete strategies under Knightian uncertainty
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer e...
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| Main Authors: | , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
2020
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| 在線閱讀: | https://hdl.handle.net/10356/143210 |
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