The paper considers solving of linear programming problems with p-order conic constraints that are related to a certain class of stochastic optimization models with risk objective or constraints. The proposed approach is based on construction of polyhedral approximations for p-order cones, and...

The paper considers modelling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via specially constructed...