A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures (Q3466784): Difference between revisions

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Revision as of 08:37, 11 July 2024

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A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures
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    A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures (English)
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    25 January 2016
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    stochastic optimization
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    risk measures
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    utility theory
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    certainty equivalent
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    scenario decomposition
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    higher-moment coherent risk measures
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    \(\log\)-exponential convex risk measures
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