Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Theoretical Computer Science,Software
Link
http://epubs.siam.org/doi/pdf/10.1137/100811696
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1. Spectral measures of risk: A coherent representation of subjective risk aversion
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