Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

DOI10.1007/S10479-008-0504-1MaRDI QIDQ993722zbMATHOpenAlexFDO

Authors E. Borgonovo, Lorenzo Peccati

Publication date 20 September 2010

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-008-0504-1

zbMATH Keywords

stochastic programmingconditional value at riskcoherent risk measures

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• Optimization of Convex Risk Functions
• Polyhedral coherent risk measures and robust optimization
• Optimization of risk measures
• Quadratic two-stage stochastic optimization with coherent measures of risk
• Higher moment coherent risk measures

Cites work

• scientific article; zbMATH DE number 3115465 (Why is no real title available?)
• scientific article; zbMATH DE number 1254002 (Why is no real title available?)
• scientific article; zbMATH DE number 1262461 (Why is no real title available?)
• scientific article; zbMATH DE number 5494025 (Why is no real title available?)
• scientific article; zbMATH DE number 3321872 (Why is no real title available?)
• Applications of stochastic programming: Achievements and questions
• Coherent measures of risk
• Coherent risk measures in inventory problems
• Convex integration for Lipschitz mappings and counterexamples to regularity
• Design of controllable batch processes in the presence of uncertainty
• Discrete-Time Financial Planning Models Under Loss-Averse Preferences
• Embeddedness of minimal surfaces with total boundary curvature at most \(4\pi\)
• Linear programming under uncertainty
• Locating hybrid fuel cell-turbine power generation units under uncertainty
• Managing portfolios of projects under uncertainty
• Manifolds with transverse fields in euclidean space
• Newsvendor solutions via conditional value-at-risk minimization
• On the interaction between retailers inventory policies and manufacturer trade deals in response to supply-uncertainty occurrences
• Optimality conditions in portfolio analysis with general deviation measures
• Optimization of batch reactions in series with uncertainty
• Proof of the double bubble conjecture
• Sensitivity Analysis in Decision Making: A Consistent Approach
• Special issue: Managing uncertainty in decision support models (MUDSM 2004). Selected papers based on the presentations at the 15th mini EURO conference, Coimbra, Portugal, September 22--24, 2004.
• Stochastic programming, state of the art. 8th international conference, Univ. of British Columbia, Vancouver, Canada, August 8--16, 1998
• The computation of the worst conditional expectation.
• Theory of differential equations in discontinuous piecewise-defined functions
• Uncertainty and investment in electricity generation with an application to the case of hydro-Québec

Cited in

(2)

• What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions
• Decision-network polynomials and the sensitivity of decision-support models

This page was built for publication: Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q993722)