SDDP for multistage stochastic linear programs based on spectral risk measures (Q1758267): Difference between revisions

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Latest revision as of 21:12, 5 July 2024

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SDDP for multistage stochastic linear programs based on spectral risk measures
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    SDDP for multistage stochastic linear programs based on spectral risk measures (English)
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    8 November 2012
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    spectral risk measure
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    stochastic programming
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    risk-averse optimization
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    decomposition algorithms
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    Monte Carlo sampling
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