A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
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Cites work
- scientific article; zbMATH DE number 439951 (Why is no real title available?)
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- Credit risk optimization with conditional Value-at-Risk criterion
- Global and superlinear convergence of the smoothing Newton method and its application to general box constrained variational inequalities
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Lectures on Stochastic Programming
- Optimization and nonsmooth analysis
- Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- Stochastic programming with equilibrium constraints
Cited in
(11)- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- A smoothing algorithm for a new two-stage stochastic model of supply chain based on sample average approximation
- Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
- Two-stage non-cooperative games with risk-averse players
- Addressing supply-side risk in uncertain power markets: stochastic Nash models, scalable algorithms and error analysis
- An approximation scheme for a class of risk-averse stochastic equilibrium problems
- Fuzzy chance-constrained project portfolio selection model based on credibility theory
- Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
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