Nonlinear stochastic programming involving \textit{CVaR} in the objective and constraints

MaRDI QIDQ4639668zbMATH OpenFDO

Authors Valerijonas Dumskis, Leonidas Sakalauskas

Publication date 11 May 2018

Full work available at URL https://content.iospress.com/articles/informatica/inf1075

zbMATH Keywords

CVARMonte Carlo methodstochastic gradientstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited in

(4)

• Variance reduction for sequential sampling in stochastic programming
• An improved averaged two-replication procedure with Latin hypercube sampling
• Nonlinear stochastic programming-with a case study in continuous switching
• Handling CVaR objectives and constraints in two-stage stochastic models

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