Login / Signup
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures.
Vincent Guigues
Published in:
Math. Program. (2017)
Keyphrases
</>
risk measures
risk averse
stochastic programming
multistage
utility function
linear program
decision makers
portfolio management
expected utility
robust optimization
objective function
linear programming
monte carlo
stochastic process
short term