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Distributionally robust optimization with multiple time scales: valuation of a thermal power plant.

Wim van AckooijDebora Daniela EscobarMartin GlanzerGeorg Ch. Pflug
Published in: Comput. Manag. Sci. (2020)
Keyphrases
  • robust optimization
  • chance constrained
  • mathematical programming
  • stochastic programming
  • portfolio optimization
  • risk measures
  • chance constraints
  • multi objective
  • semidefinite programming
  • special case