Cut generation for optimization problems with multivariate risk constraints (Q312669)
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scientific article; zbMATH DE number 6627810
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cut generation for optimization problems with multivariate risk constraints |
scientific article; zbMATH DE number 6627810 |
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Cut generation for optimization problems with multivariate risk constraints (English)
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16 September 2016
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stochastic programming
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multivariate risk-aversion
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conditional value-at-risk
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stochastic dominance
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cut generation
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convex hull
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reverse concave set
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