% You need the following packages in the main file to let this entry work:
% \usepackage[english,ngerman]{babel} multilingual support
% \usepackage{url} urls formatting
% \usepackage{hyperref} make url klickable, recommended
% Just put them into the preamble of the main .tex-file.
% You should possibly make some changes to the typography of this entry,
% e.g. quotation marks.
% Which fields of this entry will be shown in the bibliography depends on the bibtex-style, which you use
@incollection{oai:export,
author = {Vincent Guiges and Werner Römisch},
title = {SDDP for multistage stochastic linear programs based on spectral risk measures},
series = {Stochastic Programming E-Print Series},
year = {2012},
publisher = {Institut für Mathematik},
editor =
{
Julie L.
Higle and Werner
Römisch and Surrajeet
Sen
},
WernerRömischSurrajeetSenabstract = {We consider risk-averse formulations of multistage stochastic linear programs. For these formulations, based on convex combinations of spectral risk measures, risk-averse dynamic programming equations can be written. As a result, the Stochastic Dual Dynamic Programming (SDDP) algorithm can be used to obtain approximations of the corresponding risk-averse recourse functions. This allows us to deﬁne a risk-averse nonanticipative feasible policy for the stochastic linear program. Formulas for the cuts that approximate the recourse functions are given. },
note = {published; Operations Research Letters; 2012; 40}
url = { \url{http://edoc.hu-berlin.de/docviews/abstract.php?id=39285} },
url = { \url{urn:nbn:de:kobv:11-100201028} },
number = {
4},
timestamp = {2015-04-26T22:37:47Z}
}