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Risk neutral and risk averse Stochastic Dual Dynamic Programming method.
Alexander Shapiro
Wajdi Tekaya
Joari Paulo da Costa
Murilo Pereira Soares
Published in:
Eur. J. Oper. Res. (2013)
Keyphrases
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dynamic programming
risk averse
risk neutral
cost function
objective function
stochastic programming
decision makers
optimal control
risk aversion