Robust two-stage stochastic linear optimization with risk aversion

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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...

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Bibliographic Details
Main Authors:	Ling, A., Sun, Jie, Xiu, N., Yang, X.
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2017
Online Access:	http://hdl.handle.net/20.500.11937/52343

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