Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective (Q320900): Difference between revisions

@@ Property / author @@
-Tito Homem-de-mello
@@ Property / author: Tito Homem-de-mello / rank @@
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+Tito Homem-de-mello
@@ Property / author: Tito Homem-de-mello / rank @@
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+C15
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@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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+6635763
@@ Property / zbMATH DE Number: 6635763 / rank @@
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+stochastic programming
@@ Property / zbMATH Keywords: stochastic programming / rank @@
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@@ Property / zbMATH Keywords @@
+risk aversion
@@ Property / zbMATH Keywords: risk aversion / rank @@
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@@ Property / zbMATH Keywords @@
+multistage
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+consistency
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+pension funds
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+Convexity and decomposition of mean-risk stochastic programs
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+Coherent Measures of Risk
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+Dynamic risk measures: Time consistency and risk measures from BMO martingales
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+Dynamic consistency for stochastic optimal control problems
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+Dynamic monetary risk measures for bounded discrete-time processes
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+Scenario decomposition of risk-averse multistage stochastic programming problems
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+Conditional and dynamic convex risk measures
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+Scenario reduction in stochastic programming
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+On Solving Multistage Stochastic Programs with Coherent Risk Measures
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+Conditional value-at-risk in stochastic programs with mixed-integer recourse
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+On a time consistency concept in risk averse multistage stochastic programming
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+Minimax and risk averse multistage stochastic programming
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+Time consistency of dynamic risk measures
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+Lectures on Stochastic Programming
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+Worst-Case-Expectation Approach to Optimization Under Uncertainty
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+Applications of Stochastic Programming
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