Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
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Cites work
- A heuristic for moment-matching scenario generation
- A note on scenario reduction for two-stage stochastic programs
- Coherent measures of risk
- Computational aspects of minimizing conditional value-at-risk
- Convexity and decomposition of mean-risk stochastic programs
- Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming
- Generating scenario trees for multistage decision problems
- Handling CVaR objectives and constraints in two-stage stochastic models
- Introduction to Stochastic Programming
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Scenario reduction algorithms in stochastic programming
- Scenario reduction in stochastic programming
- Scenario reduction in stochastic programming with respect to discrepancy distances
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Scenario tree modeling for multistage stochastic programs
- Scenario tree reduction for multistage stochastic programs
- Scenarios for multistage stochastic programs
- Stability of Multistage Stochastic Programs
Cited in
(6)- Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
- Scenario reduction for stochastic programs with conditional value-at-risk
- Constraint generation for risk averse two-stage stochastic programs
- An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures
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