Stability of multistage stochastic programs incorporating polyhedral risk measures

DOI10.1080/02331930701779930zbMath1192.90131OpenAlexW2121362077MaRDI QIDQ3498594

Werner Römisch, Andreas Eichhorn

Publication date: 15 May 2008

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/9021

zbMATH Keywords

optimizationmultistage stochastic programmingpolyhedral risk measuresquantitative stabilityfiltration distancemultiperiod risk functionals

Mathematics Subject Classification ID

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

Related Items

Scenario reduction for stochastic programs with conditional value-at-risk, Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts, Unnamed Item, A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios, Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management, Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio, Scenario tree reduction for multistage stochastic programs, Quantitative stability of multistage stochastic programs via calm modifications

Cites Work

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