Listagem Gerenciamento da Produção de Eletricidade no Brasil / RP por Título "Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures"

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Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

Guigues, Vincent Gérard Yannick
2016

We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable con dence intervals on the optimal value of such stochastic programs using the Robust Stochastic ...