Cut generation for optimization problems with multivariate risk constraints
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Publication:312669
DOI10.1007/s10107-015-0953-7zbMath1346.90642MaRDI QIDQ312669
Publication date: 16 September 2016
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-015-0953-7
stochastic programming; convex hull; stochastic dominance; conditional value-at-risk; cut generation; multivariate risk-aversion; reverse concave set
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