Handling CVaR objectives and constraints in two-stage stochastic models
AbstractBased on the polyhedral representation of Künzi-Bay and Mayer [Künzi-Bay, A., Mayer, J., 2006. Computational aspects of minimizing conditional value-at-risk. Computational Management Science 3, 3-27] , we propose decomposition frameworks for handling CVaR objectives and constraints in two-stage stochastic models. For the solution of the decomposed problems we propose special Level-type methods.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 191 (2008)
Issue (Month): 3 (December)
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