Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
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Cites work
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Cited in
(63)- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
- 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
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Timely decision analysis enabled by efficient social media modeling
- 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-averse multistage stochastic programs with expected conditional risk measures
- Incorporating convex risk measures into multistage stochastic programming algorithms
- Solving constrained consumption-investment problems by decomposition algorithms
- Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
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- Risk-averse decision strategies for influence diagrams using rooted junction trees
- Multilevel optimization modeling for risk-averse stochastic programming
- Scenario tree reduction algorithms combining quantitative stability with k-medoids clustering for large-scale risk-averse multi-stage stochastics programming problems
- Two-stage distributionally robust optimization model for a pharmaceutical cold supply chain network design problem
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- Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
- Markov decision processes with recursive risk measures
- Stochastic optimization of trading strategies in sequential electricity markets
- Minimax and risk averse multistage stochastic programming
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- Optimal procurement of flexibility services within electricity distribution networks
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- COVID-19: data-driven optimal allocation of ventilator supply under uncertainty and risk
- Stochastic dual dynamic programming and its variants: a review
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
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