A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
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Publication:763404
DOI10.1007/S10589-010-9328-4zbMATH Open1261.90033OpenAlexW2031156654MaRDI QIDQ763404FDOQ763404
Fanwen Meng, Jie Sun, Mark Goh
Publication date: 9 March 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-010-9328-4
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Cited In (7)
- Fuzzy Chance-Constrained Project Portfolio Selection Model Based on Credibility Theory
- Two-stage non-cooperative games with risk-averse players
- An approximation scheme for a class of risk-averse stochastic equilibrium problems
- Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
- Addressing supply-side risk in uncertain power markets: stochastic Nash models, scalable algorithms and error analysis
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