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

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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...

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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

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