Interchangeability principle and dynamic equations in risk averse stochastic programming
نویسنده
چکیده
In this paper we consider interchangeability of the minimization operator with monotone risk functionals. In particular we discuss the role of strict monotonicity of the risk functionals. We also discuss implications to solutions of dynamic programming equations of risk averse multistage stochastic programming problems.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 45 شماره
صفحات -
تاریخ انتشار 2017