A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure

DOI10.1007/s10589-010-9328-4zbMath1261.90033OpenAlexW2031156654MaRDI QIDQ763404

Fanwen Meng, Jie Sun, Mark Goh

Publication date: 9 March 2012

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

Full work available at URL: https://doi.org/10.1007/s10589-010-9328-4

zbMATH Keywords

smoothing methodconditional value-at-risksample average approximation

Mathematics Subject Classification ID

Stochastic programming (90C15)

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