A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure

10.1007/s10589-010-9328-4

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Bibliographic Details
Main Authors:	Meng, F., Sun, J., Goh, M.
Other Authors:	CENTRE FOR MARITIME STUDIES
Format:	Article
Published:	2014
Subjects:	Conditional value-at-risk Sample average approximation Smoothing method Stochastic optimization
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/53387
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-53387
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spelling	sg-nus-scholar.10635-533872023-10-27T09:13:29Z A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure Meng, F. Sun, J. Goh, M. CENTRE FOR MARITIME STUDIES DECISION SCIENCES Conditional value-at-risk Sample average approximation Smoothing method Stochastic optimization 10.1007/s10589-010-9328-4 Computational Optimization and Applications 50 2 379-401 CPPPE 2014-05-20T02:28:43Z 2014-05-20T02:28:43Z 2011-10 Article Meng, F., Sun, J., Goh, M. (2011-10). A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure. Computational Optimization and Applications 50 (2) : 379-401. ScholarBank@NUS Repository. https://doi.org/10.1007/s10589-010-9328-4 09266003 http://scholarbank.nus.edu.sg/handle/10635/53387 000295574600009 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 Smoothing method Stochastic optimization
spellingShingle	Conditional value-at-risk Sample average approximation Smoothing method Stochastic optimization Meng, F. Sun, J. Goh, M. A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
description	10.1007/s10589-010-9328-4
author2	CENTRE FOR MARITIME STUDIES
author_facet	CENTRE FOR MARITIME STUDIES Meng, F. Sun, J. Goh, M.
format	Article
author	Meng, F. Sun, J. Goh, M.
author_sort	Meng, F.
title	A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
title_short	A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
title_full	A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
title_fullStr	A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
title_full_unstemmed	A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
title_sort	smoothing sample average approximation method for stochastic optimization problems with cvar risk measure
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/53387
_version_	1781411876001808384

A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure

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