Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
نویسندگان
چکیده
In this tutorial we discuss several aspects of modeling and solving multistage stochastic programming problems. particular distributionally robust risk averse approaches to programming, the involved concept time consistency. This is aimed at presenting a certain point view on optimization, rather than complete survey topic.
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2021
ISSN: ['1872-6860', '0377-2217']
DOI: https://doi.org/10.1016/j.ejor.2020.03.065