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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 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…