An Optimization Framework for Conditional-Expectation-based Simulation Optimization
碩士 === 國立清華大學 === 工業工程與工程管理學系所 === 106 === Conditional value at risk (CVaR) is one kind of widely used risk measurement in the practice risk management. This paper generalizes CVaR to conditional expectation and looks into its estimation and optimization. Owing to its randomness and complexities, Mo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/f3eug9 |