SDDP for multistage stochastic linear programs based on spectral risk measures (Q1758267)
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scientific article; zbMATH DE number 6103781
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SDDP for multistage stochastic linear programs based on spectral risk measures |
scientific article; zbMATH DE number 6103781 |
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SDDP for multistage stochastic linear programs based on spectral risk measures (English)
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8 November 2012
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spectral risk measure
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stochastic programming
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risk-averse optimization
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decomposition algorithms
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Monte Carlo sampling
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