Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
We propose a semidefinite optimization (SDP) model for the class of minimax two-stage stochastic linear optimization problems with risk aversion. The distribution of second-stage random variables belongs to a set of multivariate distributions with known first and second moments. For the minimax stoc...
| Main Authors: | , , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute for Operations Research and the Management Sciences
2012
|
| Online Access: | http://hdl.handle.net/1721.1/69922 https://orcid.org/0000-0002-1985-1003 |