SDDP for multistage stochastic linear programs based on spectral risk measures (Q1758267)

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SDDP for multistage stochastic linear programs based on spectral risk measures
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    title
    SDDP for multistage stochastic linear programs based on spectral risk measures (English)
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    author
    Vincent Guigues
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    Werner Römisch
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    publication date
    8 November 2012
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    zbMATH DE Number
    6103781
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    zbMATH Keywords
    spectral risk measure
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    stochastic programming
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    risk-averse optimization
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    decomposition algorithms
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    Monte Carlo sampling
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    OpenAlex ID
    W2164257067
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    cites work
    Q3528030
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