Linear stochastic programming with minimax quantile and probability criterions.
Alexei R. PankovEvgeni N. PlatonovAlex S. PopovKonstantin V. SiemenikhinPublished in: CDC (2004)
Keyphrases
- stochastic programming
- multistage
- chance constrained
- linear program
- capacity planning
- robust optimization
- asset liability management
- decision making under uncertainty
- risk averse
- probability distribution
- power generation
- objective function
- special case
- computational complexity
- cooperative
- decision making
- multistage stochastic
- learning algorithm