Minimizing buffered probability of exceedance by progressive hedging
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Publication:2189449
DOI10.1007/s10107-019-01462-4zbMath1440.90036OpenAlexW3000187566WikidataQ126379537 ScholiaQ126379537MaRDI QIDQ2189449
Stan Uryasev, R. Tyrrell Rockafellar
Publication date: 15 June 2020
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-019-01462-4
quantilesconditional value-at-riskprogressive hedging algorithmprobability of failuresuperquantilesbuffered probability of exceedanceprobability of exceedancebuffered probability of failureconvex stochastic programming problems
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