Risk-averse stochastic bilevel programming: An application to natural gas markets.
Gopika G. JayadevBenjamin D. LeibowiczJonathan F. BardBaturay ÇalciPublished in: Comput. Ind. Eng. (2022)
Keyphrases
- risk averse
- natural gas
- bilevel programming
- stochastic programming
- optimality conditions
- multistage
- linear program
- decision makers
- utility function
- real option
- upper level
- heat transfer
- monte carlo
- linear programming
- portfolio management
- decision making
- stochastic model
- stochastic process
- nonlinear programming
- expected utility