Stability of multistage stochastic programs incorporating polyhedral risk measures
نویسندگان
چکیده
Optimization A Journal of Mathematical Programming and Operations Research Publication details, including instructions for authors and subscription information: http://www.informaworld.com/smpp/title~content=t713646500 Stability of multistage stochastic programs incorporating polyhedral risk measures Andreas Eichhorn a; Werner Römisch a a Department of Mathematics, Humboldt University Berlin, Berlin, Germany
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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