Multilevel optimization modeling for risk-averse stochastic programming
Year of publication: |
2016
|
---|---|
Authors: | Eckstein, Jonathan ; Eskandani, Deniz ; Fan, Jingnan |
Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 28.2016, 1, p. 112-128
|
Subject: | optimization modeling | risk modeling | coherent risk measures | stochastic programming | time consistency | multilevel optimization | bilevel programming | computational complexity | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Risiko | Risk | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Risikomanagement | Risk management |
-
Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir, (2019)
-
Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng, (2020)
-
Decomposability and time consistency of risk averse multistage programs
Shapiro, Alexander, (2016)
- More ...
-
Risk measurement and risk-averse control of partially observable discrete-time Markov systems
Fan, Jingnan, (2018)
-
Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems
Fan, Jingnan, (2014)
-
Nonlinear Proximal Point Algorithms Using Bregman Functions, with Applications to Convex Programming
Eckstein, Jonathan, (1993)
- More ...