Multiperiod stochastic optimization problems with time-consistent risk constraints

DOI10.1007/978-3-642-29210-1_83MaRDI QIDQ5176362zbMATH OpenOpenAlexFDO

Authors M. Densing, J. Mayer

Publication date 3 March 2015

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-29210-1_83

Mathematics Subject Classification ID

Stochastic programming (90C15)

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(9)

• Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
• Dynamic CVAR with multi-period risk problems
• Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures
• Stochastic programming of time-consistent extensions of aVaR
• scientific article; zbMATH DE number 5689707 (Why is no real title available?)
• A first order approach to a class of multi-time-period stochastic programming problems
• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
• Time-consistent approximations of risk-averse multistage stochastic optimization problems
• On a time consistency concept in risk averse multistage stochastic programming

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