2005-12-29Buch DOI: 10.18452/2974
Decomposing CVaR minimization in two-stage stochastic models
Fabian, Csaba I.
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.