Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Alexander Shapiro; Wajdi Tekaya; Joari Paulo da Costa; Murilo Pereira Soares
| Year of publication: |
2013
|
|---|---|
| Authors: | Shapiro, Alexander ; Tekaya, Wajdi ; Costa, Joari Paulo da ; Soares, Murilo Pereira |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 224.2013, 2 (16.01.), p. 375-391
|
| Subject: | Theorie | Theory | Risikoaversion | Risk aversion | Dynamische Optimierung | Dynamic programming | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009683060