An Adaptive Pattern Search Algorithm for Optimization Problems with CVaR Constraints
碩士 === 國立清華大學 === 工業工程與工程管理學系所 === 105 === Conditional value at risk (CVaR) is often used to measure and manage risks in financial engineering. In this paper, we consider optimization problems with CVaR constraints. Due to the profound randomness and complexities, the CVaR constraints can only be es...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/c3yb9a |