Name
Abstract | ||
|---|---|---|
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings. |
Year | DOI | Venue |
|---|---|---|
2006 | 10.1287/moor.1060.0204 | Math. Oper. Res. |
Keywords | Field | DocType |
stochastic optimization,axiomatic definition,conditional risk mapping,conditional risk mappings,dynamic programming,dynamic programming relation,representation theorem,conditional expectation,risk,multistage stochastic programming,conditional convex risk mapping,multistage optimization problem,conjugate duality,convex analysis | Dynamic programming,Mathematical optimization,Stochastic optimization,Axiom,Representation theorem,Conditional expectation,Multi-stage programming,Optimization problem,Convex analysis,Mathematics | Journal |
Volume | Issue | ISSN |
31 | 3 | 0364-765X |
Citations | PageRank | References |
27 | 1.97 | 7 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Andrzej Ruszczyński | 1 | 798 | 84.38 |
| Alexander Shapiro | 2 | 1131 | 93.46 |