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On Solving Multistage Stochastic Programs with Coherent Risk Measures.

Andy PhilpottVitor L. de MatosErlon Cristian Finardi
Published in: Oper. Res. (2013)
Keyphrases
  • multistage
  • risk measures
  • stochastic programming
  • production system
  • single stage
  • risk averse
  • dynamic programming
  • lot sizing
  • robust optimization
  • portfolio optimization
  • simulated annealing