Handling CVaR objectives and constraints in two-stage stochastic models

Based on the polyhedral representation of Künzi-Bay and Mayer [Künzi-Bay, A., Mayer, J., 2006. Computational aspects of minimizing conditional value-at-risk. Computational Management Science 3, 3-27] , 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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Year of publication:	2008
Authors:	Fábián, Csaba I.
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 191.2008, 3, p. 888-911
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005240885