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Scenario reduction for stochastic programs with Conditional Value-at-Risk · Study

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ArticleScenario reduction for stochastic programs with Conditional Value-at-Risk

Sebastián Arpón2018

Article2018

Scenario reduction for stochastic programs with Conditional Value-at-Risk

Sebastián Arpón · Tito Homem‐de‐Mello · Bernardo K. Pagnoncelli

41 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Electric Power System Optimization Advanced Optimization Algorithms Research

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References

1999Coherent Measures of Risk 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code 2000Optimization of conditional value-at-risk 2011Introduction to Stochastic Programming 2009Lectures on Stochastic Programming: Modeling and Theory 1955Linear Programming under Uncertainty 2004Linear Programming Under Uncertainty 2003Scenario reduction in stochastic programming

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Year2018

Typearticle

Published2018-05-16

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations41

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-018-1298-9

openalex_workW2803693170

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