A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms

A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms

Stochastic optimization models based on risk-averse measures are of essential importance in financial management and business operations. This paper studies new algorithms for a popular class of these models, namely, the mean-deviation models in multistage decision making under uncertainty. It is ar...

Full description

Bibliographic Details
Main Authors: Zhang, M., Hou, L., Sun, Jie, Yan, A.
Format: Journal Article
Language:English
Published: WORLD SCIENTIFIC PUBL CO PTE LTD 2020
Subjects:
Science & Technology
Technology
Operations Research & Management Science
Progressive hedging algorithm
risk-aversion
stochastic optimization
Online Access:http://purl.org/au-research/grants/arc/DP160102819
http://hdl.handle.net/20.500.11937/91431

Internet

http://purl.org/au-research/grants/arc/DP160102819
http://hdl.handle.net/20.500.11937/91431

Similar Items