A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures

DOI10.1287/IJOC.2014.0635zbMath1329.90096OpenAlexW2105707529MaRDI QIDQ3466784

Alexander Vinel, Maciej Rysz, Eduardo L. Pasiliao, Pavlo A. Krokhmal

Publication date: 25 January 2016

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/546173612eef18e6845c0d39d5370b7b79cde49a

zbMATH Keywords

stochastic optimizationcertainty equivalentrisk measuresutility theoryscenario decomposition\(\log\)-exponential convex risk measureshigher-moment coherent risk measures

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

Related Items (3)

Two-stage international portfolio models with higher moment risk measures ⋮ Mixed integer programming with a class of nonlinear convex constraints ⋮ Stochastic decomposition for risk-averse two-stage stochastic linear programs

Uses Software

• CPLEX
• Gurobi
• Mosek

Cites Work

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