Quadratic two-stage stochastic optimization with coherent measures of risk
نویسندگان
چکیده
منابع مشابه
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 case where both the first and second stage objective functions are convex linearquadratic. It is sho...
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Acknowledgement 1 The authors thank Jacques Carette for comments and useful suggestions that have resulted in a valuable improvement of the present manuscript. Financial Support from Eleusi Research Center is gratefully acknowledged.
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2017
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-017-1131-x