Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk.
Drew P. KouriThomas M. SurowiecPublished in: SIAM J. Optim. (2016)
Keyphrases
- constrained optimization
- risk averse
- partial differential equations
- risk neutral
- utility function
- risk aversion
- decision makers
- stochastic programming
- anisotropic diffusion
- constrained optimization problems
- objective function
- portfolio management
- unconstrained optimization
- expected utility
- image denoising
- penalty function
- augmented lagrangian
- lagrange multipliers
- linear program