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» Multistage stochastic convex programs: Duality and its impli...
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MOR
2006
94views more  MOR 2006»
13 years 5 months ago
Conditional Risk Mappings
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappi...
Andrzej Ruszczynski, Alexander Shapiro
COR
2007
106views more  COR 2007»
13 years 5 months ago
On a stochastic sequencing and scheduling problem
We present a framework for solving multistage pure 0–1 programs for a widely used sequencing and scheduling problem with uncertainty in the objective function coefficients, the...
Antonio Alonso-Ayuso, Laureano F. Escudero, M. Ter...