Risk-averse stochastic path detection
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References listed on IDEAS
- Andrzej Ruszczyński & Alexander Shapiro, 2006. "Conditional Risk Mappings," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 544-561, August.
- Kelly J. Cormican & David P. Morton & R. Kevin Wood, 1998. "Stochastic Network Interdiction," Operations Research, INFORMS, vol. 46(2), pages 184-197, April.
- Andrzej Ruszczyński & Alexander Shapiro, 2006. "Optimization of Convex Risk Functions," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
- Andrzej Ruszczyński & Alexander Shapiro, 2007. "Corrigendum to: “Optimization of Convex Risk Functions,” Mathematics of Operations Research 31 (2006) 433--452," Mathematics of Operations Research, INFORMS, vol. 32(2), pages 496-496, May.
- Yongjia Song & Siqian Shen, 2016. "Risk-Averse Shortest Path Interdiction," INFORMS Journal on Computing, INFORMS, vol. 28(3), pages 527-539, August.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
- Ricardo Collado & Dávid Papp & Andrzej Ruszczyński, 2012. "Scenario decomposition of risk-averse multistage stochastic programming problems," Annals of Operations Research, Springer, vol. 200(1), pages 147-170, November.
- Zoroa, N. & Fernández-Sáez, M.J. & Zoroa, P., 2012. "Patrolling a perimeter," European Journal of Operational Research, Elsevier, vol. 222(3), pages 571-582.
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KeywordsOR in defense; Stochastic programming; Risk-averse optimization;
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