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Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures.

Emanuele BorgonovoL. Peccati
Published in: Ann. Oper. Res. (2010)
Keyphrases
  • stochastic optimization
  • risk measures
  • robust optimization
  • multistage
  • mathematical programming
  • stochastic programming
  • evolutionary algorithm
  • linear programming
  • portfolio optimization