Models for minimax stochastic linear optimization problems with risk aversion

Models for minimax stochastic linear optimization problems with risk aversion

10.1287/moor.1100.0445

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Bibliographic Details
Main Authors: Bertsimas, D., Doan, X.V., Natarajan, K., Teo, C.-P.
Other Authors: DECISION SCIENCES
Format: Article
Published: 2013
Subjects:
Minimax stochastic optimization
Moments
Risk aversion
Semidefinite optimization
Online Access:http://scholarbank.nus.edu.sg/handle/10635/44018
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Institution: National University of Singapore
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Summary:10.1287/moor.1100.0445

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