Applying the minimax criterion in stochastic recourse programs.

Morten Riis Kim Allan Andersen

Published in: Eur. J. Oper. Res. (2005)

Keyphrases

stochastic programming
stage stochastic programs
minimax regret
neyman pearson
stochastic optimization
linear program
multistage
monte carlo
case study
probabilistic model
worst case
computer programs
optimization criterion
stochastic optimization problems
evaluation function
stochastic nature