Stochastic programming approach to optimization under uncertainty.
Alexander ShapiroPublished in: Math. Program. (2008)
Keyphrases
- stochastic programming
- robust optimization
- risk averse
- decision making under uncertainty
- multistage
- chance constrained
- linear program
- capacity planning
- mathematical programming
- asset liability management
- linear programming
- dynamic programming
- multistage stochastic
- resource allocation
- portfolio selection
- optimization problems
- objective function
- decision making
- learning algorithm