SDDP for multistage stochastic linear programs based on spectral risk measures

DOI10.1016/j.orl.2012.04.006zbMath1251.90296MaRDI QIDQ1758267

Werner Römisch, Vincent Guigues

Publication date: 8 November 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.04.006

zbMATH Keywords

stochastic programming; decomposition algorithms; Monte Carlo sampling; spectral risk measure; risk-averse optimization

Mathematics Subject Classification ID

90C05: Linear programming

90C15: Stochastic programming

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