Stochastic optimization problems with CVaR risk measure and their sample average approximation

DOI10.1007/s10957-010-9676-3zbMath1213.91161OpenAlexW2037656742MaRDI QIDQ604268

Mark Goh, Jie Sun, Fanwen Meng

Publication date: 10 November 2010

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

Full work available at URL: https://doi.org/10.1007/s10957-010-9676-3

zbMATH Keywords

stochastic optimizationsample average approximation

Mathematics Subject Classification ID

Related Items (11)

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Cites Work

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• Estimation of Derivatives of Nonsmooth Performance Measures in Regenerative Systems
• A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
• Credit risk optimization with conditional Value-at-Risk criterion

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