Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints
نویسندگان
چکیده
منابع مشابه
Iterative Estimation Maximization for Stochastic Linear and Convex Programs with Conditional-Value-at-Risk Constraints
We present a new algorithm, Iterative Estimation Maximization (IEM), for stochastic linear and convex programs with Conditional-Value-at-Risk (CVaR) constraints. IEM iteratively constructs a sequence of compact-sized linear, or convex, optimization problems, and solves them sequentially to find the optimal solution. The problem size IEM solves in each iteration is unaffected by the size of rand...
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We present a new algorithm, Iterative Estimation Maximization (IEM), for stochastic linear programs with Conditional Value-at-Risk constraints. IEM iteratively constructs a sequence of compact-sized linear optimization problems, and solves them sequentially to find the optimal solution. The problem size IEM solves in each iteration is unaffected by the size of random samples, which makes it ext...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2011
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-011-0135-x