SDDP for multistage stochastic linear programs based on spectral risk measures
type: Item
instance of: scholarly article
title: SDDP for multistage stochastic linear programs based on spectral risk measures
zbMATH Open document ID: 1251.90296
author: Vincent Guigues
author: Werner Römisch
published in: Operations Research Letters
publication date: 2012-11-08T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C05
zbMATH DE Number: 6103781
zbMATH Keywords: spectral risk measure
zbMATH Keywords: stochastic programming
zbMATH Keywords: risk-averse optimization
zbMATH Keywords: decomposition algorithms
zbMATH Keywords: Monte Carlo sampling
MaRDI profile type: Publication
full work available at URL: j.orl.2012.04.006
OpenAlex ID: W2164257067
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DOI: 10.1016/J.ORL.2012.04.006
description: scientific article; zbMATH DE number 6103781