Worst-Case-Expectation Approach to Optimization Under Uncertainty

DOI10.1287/opre.2013.1229zbMath1291.90154OpenAlexW2144312128MaRDI QIDQ5166293

Joari Paulo da Costa, Alexander Shapiro, Wajdi Tekaya, Murilo Pereira Soares

Publication date: 26 June 2014

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2013.1229

zbMATH Keywords

multistage stochastic programmingrobust optimizationdynamic equationsstochastic dual dynamic programmingsample average approximationtime consistencycase studiesrisk-neutral and risk-averse approaches

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

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