A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures
DOI10.1287/ijoc.2014.0635zbMath1329.90096OpenAlexW2105707529MaRDI QIDQ3466784
Alexander Vinel, Maciej Rysz, Eduardo L. Pasiliao, Pavlo A. Krokhmal
Publication date: 25 January 2016
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/546173612eef18e6845c0d39d5370b7b79cde49a
stochastic optimizationcertainty equivalentrisk measuresutility theoryscenario decomposition\(\log\)-exponential convex risk measureshigher-moment coherent risk measures
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Cites Work
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