Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping.

Alois Pichler Rui Peng Liu Alexander Shapiro

Published in: Oper. Res. (2022)

Keyphrases

stochastic programming
risk averse
optimal stopping
multistage
finite horizon
linear program
robust optimization
optimal policy
markov decision processes
production system
utility function
decision making
dynamic programming
state space
theoretical framework
lot sizing