A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms

DOI10.1142/S0217595920400047zbMath1459.90139OpenAlexW3027925889MaRDI QIDQ5149518

Liangshao Hou, Min Zhang, Ailing Yan, Jie Sun

Publication date: 11 February 2021

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0217595920400047

zbMATH Keywords

stochastic optimizationrisk-aversionprogressive hedging algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (1)

The elicited progressive decoupling algorithm: a note on the rate of convergence and a preliminary numerical experiment on the choice of parameters

Cites Work

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• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Convex Analysis

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