Risk-averse optimization in two-stage stochastic models: computational aspects and a study

DOI10.1137/130918216MaRDI QIDQ2954375zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

regularizationconvex programmingstochastic programmingcutting-plane methodsrisk-averse models

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

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Cited in

(16)

• Asymptotics of the optimal value of SAA with AMIS on minimax stochastic programs
• Stochastic hydro-thermal unit commitment via multi-level scenario trees and bundle regularization
• Risk-averse formulations and methods for a virtual power plant
• Constraint generation for risk averse two-stage stochastic programs
• Multi-stage distributionally robust optimization with risk aversion
• Risk optimization with \(p\)-order conic constraints: a linear programming approach
• Multiplier stabilization applied to two-stage stochastic programs
• Acceleration techniques for level bundle methods in weakly smooth convex constrained optimization
• Two-stage combinatorial optimization problems under risk
• Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse
• Computational study of decomposition algorithms for mean-risk stochastic linear programs
• A model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms
• Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support
• An adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse
• Adaptive sampling strategies for risk-averse stochastic optimization with constraints
• A mean-risk mixed integer nonlinear program for transportation network protection

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