Robust two-stage stochastic linear optimization with risk aversion

DOI10.1016/J.EJOR.2016.06.017zbMath1394.90449OpenAlexW2468670678MaRDI QIDQ1752187

Xianqiang Yang

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/52343

zbMATH Keywords

stochastic programmingsemidefinite programmingrobust optimizationconditional value-at-riskuncertainty modeling

Mathematics Subject Classification ID

Semidefinite programming (90C22) Minimax problems in mathematical programming (90C47) Linear programming (90C05) Stochastic programming (90C15)

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Uses Software

• SDPT3

Cites Work

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