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Risk-averse stochastic bilevel programming: An application to natural gas markets.
Gopika G. Jayadev
Benjamin D. Leibowicz
Jonathan F. Bard
Baturay Çalci
Published in:
Comput. Ind. Eng. (2022)
Keyphrases
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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