4 papers
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…
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…
Boundary feedback stabilization of the isothermal Euler-equations with uncertain boundary data
Martin Gugat, Rüdiger Schultz
In a gas transport system, the customer behavior is uncertain. Motivated by this situation, we consider a boundary stabilization problem for the flow through a gas pipeline, where…
Weak continuity of risk functionals with applications to stochastic programming
Matthias Claus, Volker Krätschmer, Rüdiger Schultz
Measuring and managing risk has become crucial in modern decision making under stochastic uncertainty. In two-stage stochastic programming, mean risk models are essentially defined…