A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
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Cites work
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- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
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Cited in
(16)- On solving the dual for portfolio selection by optimizing conditional value at risk
- Expected shortfall: heuristics and certificates
- Generalized adaptive partition-based method for two-stage stochastic linear programs with fixed recourse
- Computational aspects of minimizing conditional value-at-risk
- Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
- Scenario reduction for stochastic programs with conditional value-at-risk
- Portfolio optimization with entropic value-at-risk
- Risk averse shortest paths: a computational study
- Scenario aggregation method for portfolio expectile optimization
- Convex and Nonconvex Risk-Based Linear Regression at Scale
- Approximation algorithms for a class of stochastic selection problems with reward and cost considerations
- Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse
- Partition-based decomposition algorithms for two-stage stochastic integer programs with continuous recourse
- An adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse
- A stochastic primal-dual method for optimization with conditional value at risk constraints
- Computational aspects of column generation for nonlinear and conic optimization: classical and linearized schemes
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