Stochastic linear programming with a distortion risk constraint.
Karl MoslerPavel BazovkinPublished in: OR Spectr. (2014)
Keyphrases
- linear programming
- chance constraints
- chance constrained
- linear program
- stochastic programming
- linear arithmetic constraints
- linear inequalities
- dynamic programming
- robust optimization
- dual variables
- risk management
- high risk
- feasible solution
- monte carlo
- network flow
- algorithm for linear programming
- optimal solution
- quadratic programming
- primal dual
- risk factors
- stochastic optimization
- nonlinear programming
- risk measures
- risk assessment
- information loss
- decision making
- linear constraints
- global constraints
- integer programming
- radially symmetric