Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation

Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation

10.1007/s10957-010-9676-3

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Bibliographic Details
Main Authors: Meng, F.W., Sun, J., Goh, M.
Other Authors: DECISION SCIENCES
Format: Article
Published: 2013
Subjects:
Conditional value-at-risk
Sample average approximation
Stochastic optimization
Variational analysis
Online Access:http://scholarbank.nus.edu.sg/handle/10635/44000
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Institution: National University of Singapore
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spelling sg-nus-scholar.10635-440002024-11-13T20:20:28Z Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation Meng, F.W. Sun, J. Goh, M. DECISION SCIENCES Conditional value-at-risk Sample average approximation Stochastic optimization Variational analysis 10.1007/s10957-010-9676-3 Journal of Optimization Theory and Applications 146 2 399-418 2013-10-09T03:24:18Z 2013-10-09T03:24:18Z 2010 Article Meng, F.W., Sun, J., Goh, M. (2010). Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation. Journal of Optimization Theory and Applications 146 (2) : 399-418. ScholarBank@NUS Repository. https://doi.org/10.1007/s10957-010-9676-3 00223239 http://scholarbank.nus.edu.sg/handle/10635/44000 000281250400010 Scopus
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
topic Conditional value-at-risk
Sample average approximation
Stochastic optimization
Variational analysis
spellingShingle Conditional value-at-risk
Sample average approximation
Stochastic optimization
Variational analysis
Meng, F.W.
Sun, J.
Goh, M.
Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
description 10.1007/s10957-010-9676-3
author2 DECISION SCIENCES
author_facet DECISION SCIENCES
Meng, F.W.
Sun, J.
Goh, M.
format Article
author Meng, F.W.
Sun, J.
Goh, M.
author_sort Meng, F.W.
title Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
title_short Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
title_full Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
title_fullStr Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
title_full_unstemmed Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
title_sort stochastic optimization problems with cvar risk measure and their sample average approximation
publishDate 2013
url http://scholarbank.nus.edu.sg/handle/10635/44000
_version_ 1821215622559694848

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