Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming.

Alexander Shapiro

Published in: Eur. J. Oper. Res. (2021)

Keyphrases

stochastic programming
risk averse
multistage
risk neutral
robust optimization
risk aversion
capacity planning
linear program
production system
dynamic programming
lot sizing
optimal policy
search space
special case
capacity expansion