SDDP for multistage stochastic linear programs based on spectral risk measures
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Publication:1758267
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
stochastic programming; decomposition algorithms; Monte Carlo sampling; spectral risk measure; risk-averse optimization
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