Polyhedral Risk Measures in Stochastic Programming
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Cited in
(53)- On coherent risk measures induced by convex risk measures
- Robust two-stage stochastic linear optimization with risk aversion
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- SDDP for multistage stochastic linear programs based on spectral risk measures
- Entropic value-at-risk: a new coherent risk measure
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
- A primal-dual algorithm for risk minimization
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
- On conditional cuts for stochastic dual dynamic programming
- Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
- A multiobjective metaheuristic for a mean-risk multistage capacity investment problem
- Scenario tree reduction for multistage stochastic programs
- Testing the structure of multistage stochastic programs
- Quantitative stability of multistage stochastic programs via calm modifications
- Convexity and decomposition of mean-risk stochastic programs
- Integer programming approaches in mean-risk models
- Structure of risk-averse multistage stochastic programs
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- Risk measures in stochastic programming and robust optimization problems
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
- Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
- Mean-risk optimization of electricity portfolios
- Polyhedral risk measures in electricity portfolio optimization
- Recent Progress in Two-stage Mixed-integer Stochastic Programming with Applications to Power Production Planning
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- Risk aversion in two-stage stochastic integer programming
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Risk Measures and Robust Optimization Problems
- A branch-and-bound method for multistage stochastic integer programs with risk objectives
- Stability of multistage stochastic programs incorporating polyhedral risk measures
- Modeling and Implementation of Risk-Averse Preferences in Stochastic Programs Using Risk Measures
- Risk objectives in two-stage stochastic programming models
- Time-coherent risk measures for continuous-time Markov chains
- A central limit theorem and hypotheses testing for risk-averse stochastic programs
- Medium-term planning for thermal electricity production
- Stochastic linear programming with a distortion risk constraint
- Biconvex Models and Algorithms for Risk Management Problems
- Performance ratio-based coherent risk measure and its application
- Time consistency of the mean-risk problem
- Gain-loss pricing under ambiguity of measure
- Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
- Higher moment coherent risk measures
- Rectangular sets of probability measures
- Risk-averse dynamic programming for Markov decision processes
- Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Stochastic dual dynamic programming and its variants: a review
- Risk-averse multistage stochastic programs with expected conditional risk measures
- Risk-adaptive approaches to stochastic optimization: a survey
- On a time consistency concept in risk averse multistage stochastic programming
- A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem
- Stochastic programming approach to optimization under uncertainty
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