We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...
Abstract A new characterization of the exact minimax penalty function method is presented. The exactness of the penalization for the exact minimax penalty function method is analyzed in the context of ...
The parameter vector can be subject to a set of m linear equality and inequality constraints: The coefficients a ij and right-hand sides b i of the equality and inequality constraints are collected in ...
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