Solving stochastic programming problems with risk measures by progressive hedging
type: Item
instance of: scholarly article
title: Solving stochastic programming problems with risk measures by progressive hedging
zbMATH Open document ID: 1416.90027
author: R. T. Rockafellar
published in: Set-Valued and Variational Analysis
publication date: 2019-01-16T00:00:00Z
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 7002697
zbMATH Keywords: stochastic programming progressive hedging algorithm
zbMATH Keywords: problem decomposition
zbMATH Keywords: risk measures
zbMATH Keywords: conditional value-at-risk
MaRDI profile type: Publication
full work available at URL: s11228-017-0437-4
OpenAlex ID: W2730601814
cites work: Scenarios and Policy Aggregation in Optimization Under Uncertainty
cites work: Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
DOI: 10.1007/S11228-017-0437-4
description: scientific article; zbMATH DE number 7002697