Structure of risk-averse multistage stochastic programs
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Publication:2516634
DOI10.1007/s00291-014-0379-2zbMath1317.90217OpenAlexW2090807282MaRDI QIDQ2516634
Publication date: 3 August 2015
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-014-0379-2
multistage stochastic programmingcontaminationstochastic dual dynamic programmingmultiperiod risk measures
Related Items (7)
Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts ⋮ Conditional value‐at‐risk beyond finance: a survey ⋮ On conditional cuts for stochastic dual dynamic programming ⋮ Financial optimization: optimization paradigms and financial planning under uncertainty ⋮ Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs ⋮ Robustness of stochastic programs with endogenous randomness via contamination ⋮ Special issue: topics in stochastic programming
Uses Software
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