Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
Weini Zhang (Facebook, Inc., Menlo Park, California), Hamed Rahimian, Güzin Bayraksan (Integrated Systems Engineering Department, The Ohio State University, Columbus, Ohio)
| Year of publication: |
2016
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|---|---|
| Authors: | Zhang, Weini ; Rahimian, Hamed ; Bayraksan, Güzin |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 28.2016, 3, p. 385-404
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| Subject: | stochastic programming | nested Benders decomposition | risk-averse optimization | CVaR | water resources | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Dekompositionsverfahren | Decomposition method | Risikoaversion | Risk aversion | Wasserversorgung | Water supply | Risiko | Risk | Dynamische Optimierung | Dynamic programming | Wasser | Water | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2015.0684 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011538952