Parallel scenario decomposition of risk-averse 0-1 stochastic programs
Yan Deng, Shabbir Ahmed, Siqian Shen
| Year of publication: |
2018
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|---|---|
| Authors: | Deng, Yan ; Ahmed, Shabbir ; Shen, Siqian |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 30.2018, 1, p. 90-105
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| Subject: | risk-averse 0-1 stochastic programs | conditional value-at-risk (CVaR) | minimax optimization | dual decomposition | distributed algorithms | parallel computing | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Theorie | Theory | Risikomaß | Risk measure | Risikoaversion | Risk aversion | Dekompositionsverfahren | Decomposition method | Portfolio-Management | Portfolio selection | Algorithmus | Algorithm | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2017.0767 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011848149