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Minimax and risk averse multistage stochastic programming.

Alexander Shapiro
Published in: Eur. J. Oper. Res. (2012)
Keyphrases
  • stochastic programming
  • risk averse
  • multistage
  • capacity planning
  • dynamic programming
  • lot sizing
  • production system
  • multistage stochastic
  • optimal policy
  • special case
  • linear program
  • finite horizon