SDDP for multistage stochastic linear programs based on spectral risk measures

DOI10.1016/j.orl.2012.04.006zbMath1251.90296OpenAlexW2164257067MaRDI QIDQ1758267

Werner Römisch, Vincent Guigues

Publication date: 8 November 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.04.006

zbMATH Keywords

stochastic programmingdecomposition algorithmsMonte Carlo samplingspectral risk measurerisk-averse optimization

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Related Items (13)

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