Minimax and risk averse multistage stochastic programming
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References listed on IDEAS
- Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Alexander Shapiro & Wajdi Tekaya & Murilo Pereira Soares & Joari Paulo da Costa, 2013. "Worst-Case-Expectation Approach to Optimization Under Uncertainty," Operations Research, INFORMS, vol. 61(6), pages 1435-1449, December.
- Powell, Warren B., 2019. "A unified framework for stochastic optimization," European Journal of Operational Research, Elsevier, vol. 275(3), pages 795-821.
- Homem-de-Mello, Tito & Pagnoncelli, Bernardo K., 2016. "Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective," European Journal of Operational Research, Elsevier, vol. 249(1), pages 188-199.
- Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
- De Lara, Michel & Leclère, Vincent, 2016. "Building up time-consistency for risk measures and dynamic optimization," European Journal of Operational Research, Elsevier, vol. 249(1), pages 177-187.
- Martello, Silvano & Pinto Paixão, José M., 2012. "A look at the past and present of optimization – An editorial," European Journal of Operational Research, Elsevier, vol. 219(3), pages 638-640.
- Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
- Pichler, Alois & Shapiro, Alexander, 2015. "Minimal representation of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 184-193.
More about this item
KeywordsStochastic programming; Dynamic equations; Robust optimization; Coherent risk measures; Risk averse stochastic optimization; Problem of moments;
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