Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
نویسندگان
چکیده
منابع مشابه
Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Risk-averse mixed-integer multi-stage stochastic programming forms a class of extremely challenging problems since the problem size grows exponentially with the number of stages, the problem is non-convex due to integrality restrictions and the objective function is a dynamic measure of risk. For this reason, we propose a scenario tree decomposition approach, namely group subproblem approach, t...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2018
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2017.10.038