Solving stochastic programming problems with risk measures by progressive hedging
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Publication:1711084
DOI10.1007/s11228-017-0437-4zbMath1416.90027OpenAlexW2730601814MaRDI QIDQ1711084
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
risk measuresconditional value-at-riskproblem decompositionstochastic programming progressive hedging algorithm
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