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  • Search: subject:"Risk averse stochastic optimization"
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Coherent risk measures 1 Dynamic equations 1 Dynamic programming 1 Dynamische Optimierung 1 Mathematical programming 1 Mathematische Optimierung 1 Problem of moments 1 Risikoaversion 1 Risk averse stochastic optimization 1 Risk aversion 1 Robust optimization 1 Stochastic process 1 Stochastic programming 1 Stochastischer Prozess 1 Theorie 1 Theory 1 derivative-free optimization 1 direct policy search 1 dynamic optimization 1 energy storage 1 learning 1 parallel optimization 1 risk-averse stochastic optimization 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Bouzaiene-Ayari, Belgacem 1 Defourny, Boris 1 Moazeni, Somayeh 1 Powell, Warren B. 1 Shapiro, Alexander 1
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European Journal of Operational Research 1 INFORMS journal on computing : JOC 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Parallel nonstationary direct policy search for risk-averse stochastic optimization
Moazeni, Somayeh; Powell, Warren B.; Defourny, Boris; … - In: INFORMS journal on computing : JOC 29 (2017) 2, pp. 332-349
Persistent link: https://www.econbiz.de/10011691216
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Minimax and risk averse multistage stochastic programming
Shapiro, Alexander - In: European Journal of Operational Research 219 (2012) 3, pp. 719-726
In this paper we study relations between the minimax, risk averse and nested formulations of multistage stochastic programming problems. In particular, we discuss conditions for time consistency of such formulations of stochastic problems. We also describe a connection between law invariant...
Persistent link: https://www.econbiz.de/10010574212
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