Solving stochastic programming problems with risk measures by progressive hedging

DOI10.1007/s11228-017-0437-4zbMath1416.90027OpenAlexW2730601814MaRDI QIDQ1711084

R. Tyrrell Rockafellar

Publication date: 16 January 2019

Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11228-017-0437-4

zbMATH Keywords

risk measuresconditional value-at-riskproblem decompositionstochastic programming progressive hedging algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites Work

• Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
• Scenarios and Policy Aggregation in Optimization Under Uncertainty