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SDDP for multistage stochastic linear programs based on spectral risk measures
16 references·1 citing·29 second hop
SDDP for multistage stochastic linear programs based on spectral risk measures (2012)SDDP for multistage stochastic linear pro…SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning (2013)SDDP for some interstage depe…Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures (2012)Sampling-Based Decomposition …Analysis of stochastic dual dynamic programming method (2010)Analysis of stochastic dual d…On the convergence of stochastic dual dynamic programming and related methods (2008)On the convergence of stochas…Scenario tree modeling for multistage stochastic programs (2007)Scenario tree modeling for mu…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Epi-convergent discretizations of multistage stochastic programs via integration quadratures (2007)Epi-convergent discretization…Stability of Multistage Stochastic Programs (2006)Stability of Multistage Stoch…Extreme spectral risk measures: An application to futures clearinghouse margin requirements (2006)Extreme spectral risk measure…Polyhedral Risk Measures in Stochastic Programming (2005)Polyhedral Risk Measures in S…Inference of statistical bounds for multistage stochastic programming problems (2003)Inference of statistical boun…Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …Portfolio Optimization with Spectral Measures of Risk (2002)Portfolio Optimization with S…Scenarios for Multistage Stochastic Programs (2000)Scenarios for Multistage Stoc…Stochastic Programming (1972)Stochastic ProgrammingStochastic Dual Dynamic Programming and Its Variants: A Review (2025)Stochastic Dual Dynamic Progr…Portfolio Selection: Efficient Diversification of Investments (1959)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Stochastic Programming (1995)The design of robust value-creating supply chain networks: A critical review (2009)Mass Transportation Problems (1998)Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario reduction in stochastic programming (2003)Stochastic dual dynamic integer programming (2018)A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Introduction to Stochastic Programming (1998)Introduction to Stochastic Programming (2011)Stochastic Programming (2010)A unified framework for stochastic optimization (2018)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On Complexity of Stochastic Programming Problems (2006)Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)Optimization of conditional value-at-risk (2000)Lectures on Stochastic Programming (2009)Generalized deviations in risk analysis (2005)Making and Evaluating Point Forecasts (2011)Stochastic Programming Models (2003)Intelligent freight-transportation systems: Assessment and the contribution of operations research (2009)On a time consistency concept in risk averse multistage stochastic programming (2009)The 1/N investment strategy is optimal under high model ambiguity (2011)Risk management with expectiles (2015)Catastrophe Risk Models for Evaluating Disaster Risk Reduction Investments in Developing Countries (2012)Fuzzy Portfolio Optimization of Power Generation Assets (2018)
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References

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  • 2000Scenarios for Multistage Stochastic Programs475 cited
  • 2010Analysis of stochastic dual dynamic programming method452 cited
  • 2007Modeling, Measuring and Managing Risk403 cited
  • 2007Modeling, Measuring and Managing Risk326 cited
  • 2007Scenario tree modeling for multistage stochastic programs303 cited
  • 2008On the convergence of stochastic dual dynamic programming and related methods232 cited
  • 2006Stability of Multistage Stochastic Programs132 cited
  • 2005Polyhedral Risk Measures in Stochastic Programming119 cited
  • 1972Stochastic Programming117 cited
  • 2006Extreme spectral risk measures: An application to futures clearinghouse margin requirements113 cited
  • 2003Inference of statistical bounds for multistage stochastic programming problems100 cited
  • 2012Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures70 cited
  • 2002Portfolio Optimization with Spectral Measures of Risk69 cited
  • 2007Epi-convergent discretizations of multistage stochastic programs via integration quadratures63 cited

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  • 2013SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning60 cited
  • Cited by

    • 2025Stochastic Dual Dynamic Programming and Its Variants: A Review25 cited