Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition.

Naomi Miller Andrzej Ruszczynski

Published in: Oper. Res. (2011)

Keyphrases

risk averse
linear programming
linear program
stochastic programming
risk neutral
decision makers
utility function
risk aversion
portfolio management
integer programming
np hard
dynamic programming
primal dual
decision problems
semidefinite programming