Rectangular Sets of Probability Measures

DOI10.1287/opre.2015.1466zbMath1342.90118WikidataQ97714343 ScholiaQ97714343MaRDI QIDQ5740228

Alexander Shapiro

Publication date: 25 July 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9fc3829f47e222c3d0ef50a5d370c0e38a185658

zbMATH Keywords

dynamic programming; coherent risk measures; time consistency; rectangularity; risk-averse optimization; multistage stochastic optimization; robust optimal control and Markov decision processes

Mathematics Subject Classification ID

90C47: Minimax problems in mathematical programming

90C15: Stochastic programming

90C40: Markov and semi-Markov decision processes

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