Mathematical programming techniques for solving stochastic optimization problems with certainty equivalent measures of risk
The problem of risk-averse decision making under uncertainties is studied from both modeling and computational perspectives. First, we consider a framework for constructing coherent and convex measures of risk which is inspired by infimal convolution operator, and prove that the proposed approach co...
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| Format: | Others |
| Language: | English |
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University of Iowa
2015
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| Online Access: | https://ir.uiowa.edu/etd/1786 https://ir.uiowa.edu/cgi/viewcontent.cgi?article=5838&context=etd |