Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
Laureano F. Escudero, María Araceli Garín, Aitziber Unzueta
| Year of publication: |
September 2017
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| Authors: | Escudero, Laureano F. ; Garín, María Araceli ; Unzueta Inchaurbe, Aitziber |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 85.2017, p. 154-171
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| Subject: | Multistage stochastic mixed 0–1 optimization | Time stochastic dominance risk averse measure | Cluster Lagrangean problem | Subgradient method | Progressive Hedging algorithm | Dynamic Constrained Cutting Plane algorithm | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Risikoaversion | Risk aversion | Algorithmus | Algorithm | Hedging | Portfolio-Management | Portfolio selection | Clusteranalyse | Cluster analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2017.04.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011713905