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Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures.

Haodong Yu
Published in: J. Appl. Math. Comput. (2023)
Keyphrases
  • projection method
  • risk measures
  • convex optimization
  • risk averse
  • harmonic functions
  • portfolio optimization
  • robust optimization
  • decision support system
  • shortest path
  • production system