Quadratic two-stage stochastic optimization with coherent measures of risk

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Sun, Jie, Liao, L., Rodrigues, B.
Format:	Journal Article
Published:	Springer 2017
Online Access:	http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52156

Similar Items

two stage stochastic optimization with risk measures and risk aversity
by: Sun, Jie
Published: (2013)

Robust two-stage stochastic linear optimization with risk aversion
by: Ling, A., et al.
Published: (2017)

On the dual representation of coherent risk measures
by: Ang, M., et al.
Published: (2017)

Robust two-stage stochastic linear programs with moment constraints
by: Gao, S., et al.
Published: (2014)

Two-stage quadratic games under uncertainty and their solution by progressive hedging algorithms
by: Zhang, M., et al.
Published: (2019)

Two-stage stochastic linear programs with incomplete information on uncertainty
by: Ang, J., et al.
Published: (2014)

Robust Stochastic Optimization With Convex Risk Measures: A Discretized Subgradient Scheme
by: Yu, H., et al.
Published: (2021)

Dynamics of composition of two quadratic stochastic Volterra operators
by: Ganikhodzaev, Rasul, et al.
Published: (2013)

Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
by: Meng, F., et al.
Published: (2010)

On quadratic stochastic operators
by: Ganikhodjaev, Nasir, et al.
Published: (2006)

The extreme doubly stochastic quadratic operators on two dimensional simplex
by: Abdulghafor, Rawad Abdulkhaleq Abdulmolla, et al.
Published: (2016)

On xi-(s) quadratic stochastic operators on two-dimensional simplex and their behavior
by: Mukhamedov, Farrukh, et al.
Published: (2013)

Quadratic stochastic operators on simplex
by: Saburov, Mansoor
Published: (2015)

Gaussian quadratic stochastic operator
by: Ganikhodjaev, Nasir, et al.
Published: (2014)

Quadratic stochastic Sarymsakov operators
by: Saburov, Mansoor
Published: (2016)

On linearization of quadratic stochastic operators
by: Ganikhodjaev, Nasir, et al.
Published: (2009)

On construction of quadratic stochastic processes
by: Mukhamedov, Farrukh, et al.
Published: (2012)

On linearization of quadratic stochastic operators
by: Ganikhodjaev, Nasir, et al.
Published: (2011)

A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
by: Meng, F., et al.
Published: (2011)

A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints
by: Gao, S., et al.
Published: (2016)

A model of distributionally robust two-stage stochastic convex programming with linear recourse
by: Li, Bin, et al.
Published: (2018)

P-majorizing quadratic stochastic operators
by: Saburov, Mansoor, et al.
Published: (2017)

On the orthogonality preserving quadratic stochastic operators
by: Mukhamedov, Farrukh, et al.
Published: (2015)

On b-bistochastic quadratic stochastic operators
by: Mukhamedov, Farrukh, et al.
Published: (2015)

On marginal processes of quadratic stochastic processes
by: Mukhamedov, Farrukh, et al.
Published: (2015)

Gaussian quantum quadratic stochastic operators
by: Ganikhodjaev, Nasir
Published: (2016)

Hopotopy of Volterra quadratic stochastic operators
by: Mukhamedov, Farrukh, et al.
Published: (2009)

On ξ^s-quadratic stochastic operators and their classifications
by: Wan Rozali, Wan Fairuz Alwani, et al.
Published: (2011)

On dynamics of xs quadratic stochastic operators
by: Mukhamedov, Farrukh, et al.
Published: (2012)

On homotopy of volterrian quadratic stochastic operators
by: Mukhamedov, Farrukh, et al.
Published: (2010)

Dynamics of nonlinear operator generated by lebesgue quadratic stochastic operator with exponential measure
by: Nur Zatul Akmar, Hamzah, et al.
Published: (2022)

A Method of Analytic Centers for Quadratically Constrained Convex Quadratic Programs
by: Mehrotra, S., et al.
Published: (1991)

Limit behavior of the trajectories of extreme doubly stochastic quadratic operators on two dimensional simplex
by: Abdulghafor, Rawad, et al.
Published: (2019)

A class of two-sex population quadratic stochastic operators: B-Bistochastic-Volterra
by: Ahmad Fadillah Embong,, et al.
Published: (2024)

On (3,3)-Gaussian quadratic stochastic operators
by: Ganikhodjaev, Nasir, et al.
Published: (2017)

Quadratic stochastic operators with infinite state spaces
by: Ganikhodjaev, Nasir
Published: (2015)

On regularity of positive quadratic doubly stochastic operators
by: Saburov, Mansoor
Published: (2018)

Ergodicity of p-majorizing quadratic stochastic operators
by: Saburov, Mansoor
Published: (2018)

b-Bistochastic quadratic stochastic operators and their properties
by: Mukhamedov, Farrukh, et al.
Published: (2016)

On volterra and orthogonality preserving quadratic stochastic operators
by: Mukhamedov, Farrukh, et al.
Published: (2016)