Structure of risk-averse multistage stochastic programs
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Publication:2516634
DOI10.1007/S00291-014-0379-2zbMATH Open1317.90217OpenAlexW2090807282MaRDI QIDQ2516634FDOQ2516634
Authors: Václav Kozmík, Jitka Dupačová 
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
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Cited In (32)
- Term structure models in multistage stochastic programming: Estimation and approximation
- Stochastic programming: potential hazards when random variables reflect market interaction
- Robustness of stochastic programs with endogenous randomness via contamination
- Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
- Special issue: topics in stochastic programming
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- Financial optimization: optimization paradigms and financial planning under uncertainty
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
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- On conditional cuts for stochastic dual dynamic programming
- Risk assessment and optimal scheduling of serial projects
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Conditional value‐at‐risk beyond finance: a survey
- On a time consistency concept in risk averse multistage stochastic programming
- Testing the structure of multistage stochastic programs
- Risk-averse two-stage stochastic programs in furniture plants
- Title not available (Why is that?)
- Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
- Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures
- A branch-and-bound method for multistage stochastic integer programs with risk objectives
- On solving multistage stochastic programs with coherent risk measures
- Dual SDDP for risk-averse multistage stochastic programs
- Multilevel optimization modeling for risk-averse stochastic programming
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
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- Modeling and Implementation of Risk-Averse Preferences in Stochastic Programs Using Risk Measures
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