Polyhedral Coherent Risk Measures and Robust Optimization

被引：0
|
作者：
V. S. Kirilyuk
机构：
[1] National Academy of Sciences of Ukraine,V. M. Glushkov Institute of Cybernetics
来源：
Cybernetics and Systems Analysis | 2019年 / 55卷
关键词：
polyhedral coherent risk measure; Conditional Value-at-Risk; robust optimization; distributionally robust optimization; uncertainty set; linear programming;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Properties of the apparatus of polyhedral coherent risk measures, its relationship with problems of robust and distributionally robust optimization, as well as its application under uncertainty are described. Problems of calculating robust structures of polyhedral coherent risk measures and their minimization, which are reduced to the corresponding linear programming problems, are considered.
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页码：999 / 1008
页数：9
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