A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
DOI10.1287/IJOC.2014.0635zbMATH Open1329.90096OpenAlexW2105707529MaRDI QIDQ3466784FDOQ3466784
Authors: Maciej Rysz, Alexander Vinel, 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
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Cited In (6)
- Two-stage international portfolio models with higher moment risk measures
- Risk-averse stochastic programming and distributionally robust optimization via operator splitting
- Mixed integer programming with a class of nonlinear convex constraints
- Convexity and decomposition of mean-risk stochastic programs
- A model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms
- Stochastic decomposition for risk-averse two-stage stochastic linear programs
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