An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
DOI10.1016/j.cor.2014.12.007zbMath1348.90502OpenAlexW2052569040MaRDI QIDQ337504
Dolores Romero Morales, Laureano Fernando Escudero Bueno, Juan Francisco Monge
Publication date: 10 November 2016
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2014.12.007
stochastic dynamic programmingrisk aversestochastic dominance constraintscross-scenario constraintsmultiperiod stochastic mixed 0-1 linear programming
Mixed integer programming (90C11) Linear programming (90C05) Stochastic programming (90C15) Dynamic programming (90C39)
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