Risk-averse optimization in two-stage stochastic models: computational aspects and a study
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Publication:2954375
DOI10.1137/130918216zbMATH Open1358.90087OpenAlexW2052634781MaRDI QIDQ2954375FDOQ2954375
Authors: Csaba I. Fábián, Christian Wolf, A. Koberstein, Leena Suhl 
Publication date: 13 January 2017
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/130918216
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Cited In (16)
- Computational study of decomposition algorithms for mean-risk stochastic linear programs
- An adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse
- A mean-risk mixed integer nonlinear program for transportation network protection
- Two-stage combinatorial optimization problems under risk
- Acceleration techniques for level bundle methods in weakly smooth convex constrained optimization
- Constraint generation for risk averse two-stage stochastic programs
- Multi-stage distributionally robust optimization with risk aversion
- Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support
- Risk optimization with \(p\)-order conic constraints: a linear programming approach
- Adaptive sampling strategies for risk-averse stochastic optimization with constraints
- Multiplier stabilization applied to two-stage stochastic programs
- Risk-averse formulations and methods for a virtual power plant
- Stochastic hydro-thermal unit commitment via multi-level scenario trees and bundle regularization
- A model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms
- Asymptotics of the optimal value of SAA with AMIS on minimax stochastic programs
- Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse
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