Time-consistent approximations of risk-averse multistage stochastic optimization problems
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Publication:747773
DOI10.1007/S10107-014-0813-XzbMATH Open1327.90147OpenAlexW2058589222MaRDI QIDQ747773FDOQ747773
Authors: Tsvetan Asamov, Andrzej Ruszczyński 
Publication date: 19 October 2015
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-014-0813-x
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Cited In (19)
- Regularized decomposition of high-dimensional multistage stochastic programs with Markov uncertainty
- Risk-averse model predictive control
- A first order approach to a class of multi-time-period stochastic programming problems
- Decomposability and time consistency of risk averse multistage programs
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- Multiperiod stochastic optimization problems with time-consistent risk constraints
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- Time (in)consistency of multistage distributionally robust inventory models with moment constraints
- A quantitative comparison of risk measures
- Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- On a time consistency concept in risk averse multistage stochastic programming
- Stochastic dominance constraints in elastic shape optimization
- Multilevel optimization modeling for risk-averse stochastic programming
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
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