Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints
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Publication:395689
DOI10.1007/s10287-011-0135-xzbMath1282.90112OpenAlexW1968854131MaRDI QIDQ395689
Pu Huang, Dharmashankar Subramanian
Publication date: 30 January 2014
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-011-0135-x
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Cites Work
- Computational aspects of minimizing conditional value-at-risk
- Stochastic linear programming. Models, theory, and computation
- Some nondegenerate limit laws for the selection differential
- Coherent Measures of Risk
- Selected Topics in Column Generation
- Convex Approximations of Chance Constrained Programs
- Variance of the CTE Estimator
