Browsing Volume 2010 by Title

Now showing items 8-9 of 9

2010-10-20Buch

Sampling-based decomposition methods for risk-averse multistage programs

Guigues, Vincent; Römisch, Werner

We define a risk averse nonanticipative feasible policy for multistage stochastic programsand propose a methodology to implement it. The approach is based on dynamic programmingequations written for a risk averse formulation ...
2010-05-25Buch

Stability and sensitivity analysis of stochastic programs with second order dominance constraints

Liu, Yongchao; Xu, Huifu

In this paper we present stability and sensitivity analysis of a stochastic optimizationproblem with stochastic second order dominance constraints. We consider perturbation of theunderlying probability measure in the space ...