2005-12-29Buch DOI: 10.18452/8349
Decomposing CVaR minimization in two-stage stochastic models
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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