Time-consistent approximations of risk-averse multistage stochastic optimization problems.
Tsvetan AsamovAndrzej RuszczynskiPublished in: Math. Program. (2015)
Keyphrases
- multistage
- risk averse
- stochastic programming
- stochastic optimization problems
- risk neutral
- random variables
- production system
- control policies
- optimization problems
- dynamic programming
- optimal policy
- utility function
- linear program
- decision makers
- lot sizing
- capacity expansion
- robust optimization
- finite horizon
- data mining
- cost function
- bayesian networks
- decision making