Minimax and risk averse multistage stochastic programming
نویسندگان
چکیده
منابع مشابه
Minimax and risk averse multistage stochastic programming
In this paper we study relations between the minimax, risk averse and nested formulations of multistage stochastic programming problems. In particular, we discuss conditions for time consistency of such formulations of stochastic problems. We also describe a connection between law invariant coherent risk measures and the corresponding sets of probability measures in their dual representation. F...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2012
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2011.11.005