Cut generation for optimization problems with multivariate risk constraints

DOI10.1007/S10107-015-0953-7zbMath1346.90642OpenAlexW158781985MaRDI QIDQ312669

Nilay Noyan, Simge Küçükyavuz

Publication date: 16 September 2016

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-015-0953-7

zbMATH Keywords

stochastic programmingconvex hullstochastic dominanceconditional value-at-riskcut generationmultivariate risk-aversionreverse concave set

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15)

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