Quadratic two-stage stochastic optimization with coherent measures of risk
A new scheme to cope with two-stage stochastic optimization problems uses a risk measure as the objective function of the recourse action, where the risk measure is defined as the worst-case expected values over a set of constrained distributions. This paper develops an approach to deal with the cas...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2018
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/5155 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6154/viewcontent/QuadraticTwo_stageStochasticOptimizationCoherent_2017_afv.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |