The two last sections are devoted to applications of the cutting hyperplane algorithm to a linear optimal control problem and stochastic programming problems. SIAM Journal on Applied Mathematics ...

Stochastic programming can effectively describe many decision-making problems in uncertain environments. Unfortunately, such programs are often computationally demanding to solve. In addition, their ...

Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance Csaba I. Fábián, Anna Veszprémi ...