Minimax and risk averse multistage stochastic programming
type: Item
instance of: scholarly article
title: Minimax and risk averse multistage stochastic programming
zbMATH Open document ID: 1253.90181
published in: European Journal of Operational Research
publication date: 2012-12-29T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C47
zbMATH DE Number: 6119325
zbMATH Keywords: stochastic programming
zbMATH Keywords: dynamic equations
zbMATH Keywords: robust optimization
zbMATH Keywords: coherent risk measures
zbMATH Keywords: risk averse stochastic optimization
zbMATH Keywords: problem of moments
author: Alexander Shapiro
MaRDI profile type: Publication
full work available at URL: j.ejor.2011.11.005
OpenAlex ID: W2136013738
cites work: Coherent measures of risk
cites work: Adjustable robust solutions of uncertain linear programs
cites work: Q3182207
cites work: Q5560061
cites work: Dynamic consistency for stochastic optimal control problems
cites work: Stochastic finance. An introduction in discrete time
cites work: Robust Dynamic Programming
cites work: Robust Control of Markov Decision Processes with Uncertain Transition Matrices
cites work: Q3757846
cites work: Dynamic coherent risk measures
cites work: Q3528030
cites work: Variational Analysis
cites work: Moments of non-negative mass
cites work: Optimization of Convex Risk Functions
cites work: Conditional Risk Mappings
cites work: Risk-averse dynamic programming for Markov decision processes
cites work: On a time consistency concept in risk averse multistage stochastic programming
cites work: Lectures on Stochastic Programming
cites work: A dynamic programming approach to adjustable robust optimization
cites work: Q5543208
cites work: Q5358751
DOI: 10.1016/J.EJOR.2011.11.005
description: scientific article; zbMATH DE number 6119325