A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs

Computational Optimization and Applications

Volumn 59, Issue 3, 2014, Pages 617-638

  Espinoza, Daniel ^a   Moreno, Eduardo ^b  

^a UNIVERSITY OF CHILE   (Chile)

^b UNIVERSIDAD ADOLFO IBÁÑEZ   (Chile)

Author keywords

Aggregation techniques; Approximation methods; Conditional value at risk; Sample average approximation

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; FUNCTIONS; LINEAR PROGRAMMING; OPTIMIZATION; RISK ASSESSMENT; VALUE ENGINEERING;

AGGREGATION ALGORITHMS; AGGREGATION TECHNIQUES; APPROXIMATION METHODS; COHERENT RISK MEASURES; COMPUTATIONAL EXPERIMENT; CONDITIONAL VALUE-AT-RISK; SAMPLE AVERAGE APPROXIMATION; UNDERLYING DISTRIBUTION;

PROBLEM SOLVING;

EID: 85027944689     PISSN: 09266003     EISSN: 15732894     Source Type: Journal    
DOI: 10.1007/s10589-014-9692-6     Document Type: Article

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