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math.OC2018
Decomposability and time consistency of risk averse multistage programs
Alexander Shapiro, Kerem Ugurlu
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding r…
math.OC2018★ 1 cited
Convergence Analysis of Sample Average Approximation of Two-stage Stochastic Generalized Equations
Xiaojun Chen, Alexander Shapiro, Hailin Sun
A solution of two-stage stochastic generalized equations is a pair: a first stage solution which is independent of realization of the random data and a second stage solution which…