Convexity and decomposition of mean-risk stochastic programs

DOI10.1007/s10107-005-0638-8zbMath1134.90025OpenAlexW2043109565MaRDI QIDQ2492670

Shabbir Ahmed

Publication date: 14 June 2006

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-005-0638-8

zbMATH Keywords

computational complexitystochastic programmingdecompositioncutting plane algorithmsmean-risk objectives

Mathematics Subject Classification ID

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Uses Software

• SUTIL

Cites Work

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• New variants of bundle methods
• Introduction to Stochastic Programming
• On a Class of Minimax Stochastic Programs
• What is the Subdifferential of the Closed Convex Hull of a Function?
• Dual Stochastic Dominance and Related Mean-Risk Models
• Frontiers of Stochastically Nondominated Portfolios
• On consistency of stochastic dominance and mean-semideviation models

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