Technical Note—Risk Aversion in Stochastic Programming with Recourse
نویسندگان
چکیده
منابع مشابه
SPAR: stochastic programming with adversarial recourse
We consider a general adversarial stochastic optimization model. Our model involves the design of a system that an adversary may subsequently attempt to destroy or degrade. We introduce SPAR, which utilizes mixed-integer programming for the design decision and a Markov decision process (MDP) for the modeling of our adversarial phase. © 2005 Elsevier B.V. All rights reserved.
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ژورنال
عنوان ژورنال: Operations Research
سال: 1973
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.21.1.377