Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk

DOI10.1007/s11081-012-9201-7zbMath1364.90235OpenAlexW1964276385MaRDI QIDQ2357205

R. Mínguez, Raquel García-Bertrand

Publication date: 19 June 2017

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-012-9201-7

zbMATH Keywords

stochastic programmingdecision makingrisk managementconditional value-at-riskscenario reduction

Mathematics Subject Classification ID

Related Items (5)

Scenario reduction for stochastic programs with conditional value-at-risk ⋮ An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures ⋮ Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty ⋮ Constraint generation for risk averse two-stage stochastic programs ⋮ Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure

Uses Software

• GAMS

Cites Work

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• Scenario reduction in stochastic programming
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• Scenario reduction algorithms in stochastic programming
• Scenario tree reduction for multistage stochastic programs
• A note on scenario reduction for two-stage stochastic programs
• Convexity and decomposition of mean-risk stochastic programs
• Coherent Measures of Risk
• Stability of Multistage Stochastic Programs
• Introduction to Stochastic Programming
• Scenarios for multistage stochastic programs
• Scenario tree generation for multiperiod financial optimization of optimal discretization

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