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A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures.

Maciej RyszAlexander VinelPavlo A. KrokhmalEduardo L. Pasiliao
Published in: INFORMS J. Comput. (2015)
Keyphrases
  • decomposition algorithm
  • risk measures
  • stochastic programming problems
  • decomposition method
  • working set
  • robust optimization
  • genetic algorithm