A Multicut Approach to Compute Upper Bounds for Risk-Averse SDDP.

Joaquim Dias Garcia Iago Leal Raphael Chabar Mario Veiga Pereira

Published in: CoRR (2023)

Keyphrases

risk averse
upper bound
risk neutral
lower bound
utility function
stochastic programming
risk aversion
decision makers
portfolio management
worst case
decision making
bayesian networks