A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures (Q3466784)
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scientific article; zbMATH DE number 6535045
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| English | A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures |
scientific article; zbMATH DE number 6535045 |
Statements
A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures (English)
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25 January 2016
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stochastic optimization
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risk measures
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utility theory
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certainty equivalent
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scenario decomposition
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higher-moment coherent risk measures
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\(\log\)-exponential convex risk measures
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0.810731053352356
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0.809180736541748
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0.7876037955284119
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0.786571204662323
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