|edoc-Server der Humboldt-Universität zu Berlin|
|Author(s):||Csaba I. Fabian, University of Budapest||Title:||Decomposing CVaR minimization in two-stage stochastic models|
|Date of Acceptance:||29.12.2005|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|To appear in:||EJOR|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|Based on the polyhedral representation of Künzi-Bay and Mayer (2005), we propose a decomposition framework for the minimization of CVaR in two-stage stochastic models. We show that the decomposed problems can be effectively solved by a special inexact-cut method.|
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