Structure of risk-averse multistage stochastic programs.

Jitka Dupacová Václav Kozmík

Published in: OR Spectr. (2015)

Keyphrases

multistage
stochastic programming
risk averse
production system
dynamic programming
single stage
risk neutral
lot sizing
risk aversion
linear program
bayesian networks
simulated annealing
linear programming
utility function
robust optimization