Polyhedral risk measures in stochastic programming

SIAM Journal on Optimization

Volumn 16, Issue 1, 2006, Pages 69-95

  Eichhorn, Andreas ^a   Römisch, Werner ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Coherent; Convex risk measure; Dual decomposition; Mean risk; Polyhedral; Probability metrics; Quantitative stability; Stochastic programming

Indexed keywords

DYNAMIC MECHANICAL ANALYSIS; MATHEMATICAL MODELS; MEASUREMENT THEORY; PROBABILITY;

COHERENT; CONVEX RISK MEASURES; DUAL DECOMPOSITION; MEAN-RISK; POLYHEDRAL; PROBABILITY METRICS; QUANTITATIVE STABILITY;

STOCHASTIC PROGRAMMING;

EID: 33144486295     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/040605217     Document Type: Article

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