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Scenario reduction for stochastic programs with Conditional Value-at-Risk
Sebastián Arpón
,
Tito Homem-de-Mello
, Bernardo Pagnoncelli
Business School
Research output
:
Contribution to journal
›
Article
›
peer-review
34
Scopus citations
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Keyphrases
At-risk
100%
Conditional Value
100%
Scenario Reduction
100%
Stochastic Program
100%
Stochastic Optimization Problem
60%
High Cost
20%
Random Variables
20%
Numerical Results
20%
Optimization Problem
20%
Risk-averse
20%
Risk-neutral
20%
INIS
values
100%
risks
100%
reduction
100%
stochastic processes
100%
optimization
80%
performance
20%
randomness
20%
cost
20%
approximations
20%
Computer Science
Optimization Problem
100%
Value at Risk
100%
Stochastic Optimization
75%
Random Variable
25%
Objective Function
25%
Approximation (Algorithm)
25%
Mathematics
Stochastics
100%
Conditional Value At Risk
100%
Objective Function
25%
Reduction Method
25%
Random Variable
25%