ORCID Profile
0000-0001-6722-7806
Current Organisation
Xinjiang Institute of Ecology and Geography
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Publisher: Springer Science and Business Media LLC
Date: 16-11-2015
Publisher: Springer Science and Business Media LLC
Date: 20-01-2015
Publisher: Elsevier BV
Date: 04-2015
Publisher: MDPI AG
Date: 28-09-2023
DOI: 10.3390/RS15194758
Publisher: Springer Science and Business Media LLC
Date: 11-02-2020
Publisher: IEEE
Date: 11-2015
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2020
DOI: 10.3934/JIMO.2018159
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 2019
DOI: 10.1137/17M1151067
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2019
DOI: 10.3934/JIMO.2018048
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 07-2013
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2020
DOI: 10.3934/JIMO.2019022
Publisher: Springer Science and Business Media LLC
Date: 21-10-2019
Publisher: World Scientific Pub Co Pte Lt
Date: 19-05-2020
DOI: 10.1142/S0217595920400047
Abstract: Stochastic optimization models based on risk-averse measures are of essential importance in financial management and business operations. This paper studies new algorithms for a popular class of these models, namely, the mean-deviation models in multistage decision making under uncertainty. It is argued that these types of problems enjoy a scenario-decomposable structure, which could be utilized in an efficient progressive hedging procedure. In case that linkage constraints arise in reformulations of the original problem, a Lagrange progressive hedging algorithm could be utilized to solve the reformulated problem. Convergence results of the algorithms are obtained based on the recent development of the Lagrangian form of stochastic variational inequalities. Numerical results are provided to show the effectiveness of the proposed algorithms.
Publisher: Springer Science and Business Media LLC
Date: 20-08-2020
Start Date: 2019
End Date: 2020
Funder: Chinese Academy of Sciences
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