Quadratic two-stage stochastic optimization with coherent measures of risk
Author:
Funder
Australian Research Council
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Software
Link
http://link.springer.com/article/10.1007/s10107-017-1131-x/fulltext.html
Reference29 articles.
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3. Ang, M., Sun, J., Yao, Q.: On the dual representation of coherent risk measures. Ann. Oper. Res. (2015). doi: 10.1007/s10479-017-2441-3
4. Ben-Tal, A., Nemirovski, A.: Robust convex optimization. Math. Oper. Res. 23, 769–805 (1998)
5. Ben-Tal, A., Nemirovski, A.: Lectures on Modern Convex Optimization: Analysis, Algorithms, Engineering Applications, MPS-SIAM Series on Optimization. SIAM, Philadelphia (2001)
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