Risk neutral reformulation approach to risk averse stochastic programming
Year of publication: |
2020
|
---|---|
Authors: | Liu, Rui Peng ; Shapiro, Alexander |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 286.2020, 1 (1.10.), p. 21-31
|
Subject: | Stochastic programming | Risk measures | Stochastic dual dynamic programming | Importance sampling | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Risiko | Risk | Risikoaversion | Risk aversion | Entscheidung unter Risiko | Decision under risk | Risikomaß | Risk measure | Stichprobenerhebung | Sampling |
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