Weak Continuity of Risk Functionals with Applications to Stochastic Programming.

Matthias Claus Volker Krätschmer Rüdiger Schultz

Published in: SIAM J. Optim. (2017)

Keyphrases

stochastic programming
risk averse
multistage
chance constrained
linear program
capacity planning
decision making under uncertainty
asset liability management
robust optimization
special case
power generation
decision makers
sufficient conditions
expected utility
multistage stochastic