Quadratic two-stage stochastic optimization with coherent measures of risk
A new scheme to cope with two-stage stochastic optimization problems uses a risk measure as the objective function of the recourse action, where the risk measure is defined as the worst-case expected values over a set of constrained distributions. This paper develops an approach to deal with the cas...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Springer
2017
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| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52156 |