Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

DOI10.1016/j.ejor.2020.03.065zbMath1487.90506OpenAlexW3015437889MaRDI QIDQ2028833

Alexander Shapiro

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.03.065

zbMATH Keywords

stochastic programmingdynamic equationsdistributional robustness

Mathematics Subject Classification ID

Stochastic programming (90C15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01)

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