5 citations · 5 across the 7 of their papers we have counts for
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math.OC2018
On Risk-Averse Stochastic Semidefinite Programs with Continuous Recourse
Matthias Claus, Rüdiger Schultz, Kai Spürkel +1
The vast majority of the literature on stochastic semidefinite programs (stochastic SDPs) with recourse is concerned with risk-neutral models. In this paper, we introduce mean-risk…
math.OC2018
Strong Convexity for Risk-Averse Two-Stage Models with Fixed Complete Linear Recourse
Matthias Claus, Kai Spürkel
This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) p…
math.OC2018
Strong Convexity in Stochastic Programs with Deviation Risk Measures
Matthias Claus, Rüdiger Schultz, Kai Spürkel
We give sufficient conditions for the expected excess and the upper semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic p…