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Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective.
Tito Homem-de-Mello
Bernardo K. Pagnoncelli
Published in:
Eur. J. Oper. Res. (2016)
Keyphrases
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stochastic programming
multistage
risk averse
risk aversion
capacity planning
production system
lot sizing
dynamic programming
robust optimization
multistage stochastic
utility function
capacity expansion
learning algorithm
evolutionary algorithm
optimal policy
exchange rate