Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
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Publication:320900
DOI10.1016/J.EJOR.2015.05.048zbMATH Open1346.90639OpenAlexW579853240MaRDI QIDQ320900FDOQ320900
Authors: Bernardo K. Pagnoncelli, Tito Homem-De-Mello 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.05.048
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Cited In (52)
- Two-stage distributionally robust optimization model for a pharmaceutical cold supply chain network design problem
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- Term structure models in multistage stochastic programming: Estimation and approximation
- Stochastic programming: potential hazards when random variables reflect market interaction
- The effect of regularization in portfolio selection problems
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Multistage adaptive robust optimization for the hydrothermal scheduling problem
- Risk management for forestry planning under uncertainty in demand and prices
- Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
- Sample average approximation for risk-averse problems: a virtual power plant scheduling application
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- Optimal procurement of flexibility services within electricity distribution networks
- Modeling and Implementation of Risk-Averse Preferences in Stochastic Programs Using Risk Measures
- Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
- COVID-19: data-driven optimal allocation of ventilator supply under uncertainty and risk
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
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