Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs.

Francesca Maggioni Georg Ch. Pflug

Published in: SIAM J. Optim. (2019)

Keyphrases

multistage
stochastic optimization
stochastic programming
risk averse
single stage
production system
dynamic programming
risk neutral
special case
lot sizing
utility function
genetic algorithm
capacity expansion