Handling CVaR objectives and constraints in two-stage stochastic models

European Journal of Operational Research

Volumn 191, Issue 3, 2008, Pages 888-911

  Fábián, Csaba I ^a  

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

Author keywords

Convex programming; Decomposition methods; Finance; Stochastic programming

Indexed keywords

COMPUTATION THEORY; CONSTRAINED OPTIMIZATION; MATHEMATICAL MODELS; PROBLEM SOLVING; STOCHASTIC PROGRAMMING;

COMPUTATIONAL MANAGEMENT SCIENCE; CONVEX PROGRAMMING; DECOMPOSITION METHODS; LEVEL-TYPE METHODS; POLYHEDRAL REPRESENTATION;

OPERATIONS RESEARCH;

EID: 44649129120     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2007.02.052     Document Type: Article

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