Technical note: risk-averse regret minimization in multistage stochastic programs
Mehran Poursoltani, Erick Delage, Angelos Georghiou
| Alternative title: | Risk-averse regret minimization in multistage stochastic programs |
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| Year of publication: |
2024
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| Authors: | Poursoltani, Mehran ; Delage, Erick ; Georghiou, Angelos |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 72.2024, 4, p. 1727-1738
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| Subject: | robust optimization | Optimization | regret minimization | multistage stochastic programming | risk measures | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Portfolio-Management | Portfolio selection | Risiko | Risk | Dynamische Optimierung | Dynamic programming | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2022.2429 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015045703