Quadratic two-stage stochastic optimization with coherent measures of risk.
Jie SunLi-Zhi LiaoBrian RodriguesPublished in: Math. Program. (2018)
Keyphrases
- risk averse
- stochastic optimization
- risk measures
- optimization algorithm
- optimization problems
- stochastic programming
- global optimization
- risk management
- integer programming
- quadratic program
- risk analysis
- optimization methods
- discrete optimization
- quantitative measures
- influencing factors
- minimum risk
- objective function
- globally convergent
- nonlinear programming
- neural network
- sequential quadratic programming
- quadratic programming
- optimization model
- risk assessment
- optimization process
- optimization method
- linear program
- multistage
- linear programming
- np hard
- multi objective
- special case
- pairwise
- computational complexity
- decision making