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 ...
One course in optimization (including primal, dual problems, Lagrangian functions), linear algebra, calculus, familiar with real analysis or permission of instructor. Large-scale networks and datasets ...
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