A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures

Maciej Rysz, Alexander Vinel, Pavlo A. Krokhmal, Eduardo L. Pasiliao. A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures. INFORMS Journal on Computing, 27(2):416-430, 2015. [doi]

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