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Two-Stage Stochastic Programming: Quasigradient Method

Article Outline

Keywords and Phrases

Safety Constraints and CVaR Risk Measures
General Model
Convex Case
Stochastic Decomposition Techniques
Dynamic Two-Stage Problem
Decision Processes with Rolling Horizon
See also
References

Keywords and Phrases Two-stage stochastic programming problem - Dynamic two-stage stochastic programming problem - Stochastic decomposition - Anticipation - Learning and adaptation - Conditional-value-at-risk - Safety constraints

Anticipation, Learning, and Adaptation

Two-stage stochastic programming models incorporate three major mechanisms facilitating our response (or survival) to uncertainty and changing conditions: anticipation, learning, and adaptation. Uncertainty and potential abrupt changes are pervasive characteristics of most on-going socio-economic and environmental changes. In order to manage such processes we must develop robust strategies


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