Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs

Francesca Maggioni, Georg Ch. Pflug. Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs. SIAM Journal on Optimization, 29(1):454-483, 2019. [doi]

Authors

Francesca Maggioni

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Georg Ch. Pflug

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