Polyhedral Risk Measures in Stochastic Programming
نویسندگان
چکیده
منابع مشابه
Polyhedral Risk Measures in Stochastic Programming
We consider stochastic programs with risk measures in the objective and study stability properties as well as decomposition structures. Thereby we place emphasis on dynamic models, i.e., multistage stochastic programs with multiperiod risk measures. In this context, we define the class of polyhedral risk measures such that stochastic programs with risk measures taken from this class have favora...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2005
ISSN: 1052-6234,1095-7189
DOI: 10.1137/040605217