Robust two-stage stochastic linear optimization with risk aversion
We study a two-stage stochastic linear optimization problem where the recourse function is risk-averse rather than risk neutral. In particular, we consider the mean-conditional value-at-risk objective function in the second stage. The model is robust in the sense that the distribution of the underly...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/52343 |