Scenario decomposition of risk-averse multistage stochastic programming problems.

Ricardo A. Collado Dávid Papp Andrzej Ruszczynski

Published in: Ann. Oper. Res. (2012)

Keyphrases

multistage
risk averse
stochastic programming
stochastic programming problems
risk neutral
risk aversion
production system
dynamic programming
decision makers
single stage
lot sizing
utility function
linear program
learning algorithm
data mining
non stationary
special case
decision making