A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs

DOI10.1007/s10589-014-9692-6zbMath1310.90071OpenAlexW1975719635WikidataQ57707464 ScholiaQ57707464MaRDI QIDQ480938

Eduardo Moreno, Daniel G. Espinoza

Publication date: 12 December 2014

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

Full work available at URL: https://doi.org/10.1007/s10589-014-9692-6

zbMATH Keywords

approximation methodsconditional value at risksample average approximationaggregation techniques

Mathematics Subject Classification ID

Related Items (12)

Scenario aggregation method for portfolio expectile optimization ⋮ Scenario reduction for stochastic programs with conditional value-at-risk ⋮ Computational aspects of column generation for nonlinear and conic optimization: classical and linearized schemes ⋮ Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse ⋮ Risk Averse Shortest Paths: A Computational Study ⋮ Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs ⋮ Expected shortfall: heuristics and certificates ⋮ Portfolio optimization with entropic value-at-risk ⋮ Partition-based decomposition algorithms for two-stage stochastic integer programs with continuous recourse ⋮ Approximation Algorithms for a Class of Stochastic Selection Problems with Reward and Cost Considerations ⋮ An Adaptive Partition-Based Approach for Solving Two-Stage Stochastic Programs with Fixed Recourse ⋮ Generalized adaptive partition-based method for two-stage stochastic linear programs with fixed recourse

Uses Software

• MSLiP
• SUTIL
• Portfolio Safeguard

Cites Work

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