Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
Work
Year: 2010
Type: article
Abstract: We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of cond... more
Source: Operations Research
Authors Naomi Miller, Andrzej Ruszczyński
Institution Rutgers, The State University of New Jersey
Cites: 46
Cited by: 79
Related to: 10
FWCI: 4.782
Citation percentile (by year/subfield): 93.95
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green