Higher-moment buffered probability

DOI10.1007/S11590-018-1359-2MaRDI QIDQ2329645zbMATH OpenOpenAlexWikidataFDO

Authors D. P. Kouri

Publication date 18 October 2019

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://www.osti.gov/biblio/1497635

zbMATH Keywords

risk measureschance constraintsstochastic programmingconditional value-at-risk

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 3174895 (Why is no real title available?)
• scientific article; zbMATH DE number 53965 (Why is no real title available?)
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• Higher moment coherent risk measures
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• Kusuoka representation of higher order dual risk measures
• Multi-fidelity optimization of super-cavitating hydrofoils
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• On maximization of the expectation-to-deviation ratio of a random variable
• RISK MEASURES ON ORLICZ HEARTS
• Reliability-based structural design.
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• Stochastic averaging of nonlinear flows in heterogeneous porous media

Cited in

(3)

• Buffered and reduced multidimensional distribution functions and their application in optimization
• Derivatives and subderivatives of buffered probability of exceedance
• Minimizing buffered probability of exceedance by progressive hedging

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