Solving stochastic programming problems with risk measures by progressive hedging
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Publication:1711084
DOI10.1007/S11228-017-0437-4zbMATH Open1416.90027OpenAlexW2730601814MaRDI QIDQ1711084FDOQ1711084
Authors: R. T. Rockafellar 
Publication date: 16 January 2019
Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11228-017-0437-4
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risk measuresconditional value-at-riskproblem decompositionstochastic programming progressive hedging algorithm
Cites Work
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- A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
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- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
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