Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures.
Vincent GuiguesWerner RömischPublished in: SIAM J. Optim. (2012)
Keyphrases
- multistage
- decomposition methods
- risk measures
- stochastic programming
- risk averse
- decomposition method
- single stage
- production system
- dynamic programming
- database theory
- constraint satisfaction problems
- lot sizing
- robust optimization
- data mining
- hypertree decomposition
- portfolio optimization
- objective function
- portfolio selection
- linear programming
- multi objective
- computational complexity
- optimal solution
- feature selection