On a time consistency concept in risk averse multistage stochastic programming

Operations Research Letters

Volumn 37, Issue 3, 2009, Pages 143-147

  Shapiro, Alexander ^a  

^a Georgia Institute of Technology   (United States)

Author keywords

Dynamic programming; Risk averse stochastic programming; Time consistency

Indexed keywords

CONCEPT OF TIME; DECISION POLICIES; MULTISTAGE STOCHASTIC PROGRAMMING; OPTIMALITY; RISK AVERSE STOCHASTIC PROGRAMMING; TIME CONSISTENCY;

DYNAMIC PROGRAMMING; STOCHASTIC PROGRAMMING; SYSTEMS ENGINEERING;

RANDOM PROCESSES;

EID: 64949118607     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.orl.2009.02.005     Document Type: Article

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