Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
نویسندگان
چکیده
منابع مشابه
Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures. We analyze properties of the problem and derive necessary and sufficient optimality conditions. Next, we construct two decomposition methods for solving the problem. The firs...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2011
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1100.0847