Multilevel optimization modeling for risk-averse stochastic programming
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Cites work
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- A note on the Pareto optimality of solutions to the linear bilevel programming problem
- A structure-conveying modelling language for mathematical and stochastic programming
- Coherent measures of risk
- Computational Difficulties of Bilevel Linear Programming
- Conditional Risk Mappings
- Conditional value-at-risk: optimization approach
- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Extending algebraic modelling languages for stochastic programming
- Generalized deviations in risk analysis
- Interior-point algorithms, penalty methods and equilibrium problems
- New Branch-and-Bound Rules for Linear Bilevel Programming
- Optimization of risk measures
- PySP: modeling and solving stochastic programs in Python
- Representation results for law invariant time consistent functions
- Risk-averse dynamic programming for Markov decision processes
- Scenario decomposition of risk-averse multistage stochastic programming problems
- Some properties of the bilevel programming problem
- Stochastic finance. An introduction in discrete time
- The polynomial hierarchy and a simple model for competitive analysis
- Time consistency of dynamic risk measures
- Time consistent dynamic risk measures
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
Cited in
(6)- A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
- Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Multiperiod stochastic optimization problems with time-consistent risk constraints
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Martingale characterizations of risk-averse stochastic optimization problems
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