collaborators

1 paper

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…