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METHOD AND SYSTEM FOR SOLVING STOCHASTIC LINEAR PROGRAMS WITH CONDITIONAL VALUE AT RISK CONSTRAINTS
METHOD AND SYSTEM FOR SOLVING STOCHASTIC LINEAR PROGRAMS WITH CONDITIONAL VALUE AT RISK CONSTRAINTS
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机译:在风险约束下求解带条件值的随机线性规划的方法和系统
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摘要
An apparatus including a calculator to determine an optimal solution to a stochastic linear programming problem or a stochastic mixed-ineteger linear programming problem with conditional value at risk constraints (CVaRs). The optimal solution is determined by generating a sequence of solutions that converge to the optimal solution.
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