Handling CVaR objectives and constraints in two-stage stochastic models
نویسنده
چکیده
Based on the polyhedral representation of Künzi-Bay and Mayer (2006), we propose decomposition frameworks for handling CVaR objectives and constraints in two-stage stochastic models. For the solution of the decomposed problems we propose special Level-type methods.
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عنوان ژورنال:
- European Journal of Operational Research
دوره 191 شماره
صفحات -
تاریخ انتشار 2008