A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
| Year of publication: |
2011
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|---|---|
| Authors: | Meng, Fanwen ; Sun, Jie ; Goh, Mark |
| Published in: |
Computational Optimization and Applications. - Springer. - Vol. 50.2011, 2, p. 379-401
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| Publisher: |
Springer |
| Subject: | Conditional value-at-risk | Sample average approximation | Smoothing method | Stochastic optimization |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009325279