SDDP for multistage stochastic linear programs based on spectral risk measures (Q1758267)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SDDP for multistage stochastic linear programs based on spectral risk measures |
scientific article |
Statements
SDDP for multistage stochastic linear programs based on spectral risk measures (English)
0 references
8 November 2012
0 references
spectral risk measure
0 references
stochastic programming
0 references
risk-averse optimization
0 references
decomposition algorithms
0 references
Monte Carlo sampling
0 references
