Applying the minimum risk criterion in stochastic recourse programs

DOI10.1023/A:1021862109131zbMath1094.90028MaRDI QIDQ1866133

Rüdiger Schultz, Morten Riis

Publication date: 3 April 2003

Published in: Computational Optimization and Applications (Search for Journal in Brave)

zbMATH Keywords

stabilitystochastic programmingcontinuityrisk aversion

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15)

Related Items (7)

Two-stage stochastic hierarchical multiple risk problems: Models and algorithms ⋮ A survey on bilevel optimization under uncertainty ⋮ Stochastic programming approach for energy management in electric microgrids ⋮ Risk Aversion in Two-Stage Stochastic Integer Programming ⋮ An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse ⋮ Heuristics for multi-stage interdiction of stochastic networks ⋮ Applying the minimax criterion in stochastic recourse programs

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