SDDP for multistage stochastic linear programs based on spectral risk measures.

Vincent Guigues Werner Römisch

Published in: Oper. Res. Lett. (2012)

Keyphrases

multistage stochastic
linear program
risk measures
linear programming
portfolio selection
stochastic programming
integer program
optimal solution
robust optimization
np hard
dynamic programming
primal dual
column generation
mixed integer
objective function