CENTRE FOR MARITIME STUDIES
A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
DATE: 1 January 1970
DESCRIPTION:
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F. W. Meng, J. Sun, and M. Goh, (2011), “A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure”, Computational Optimization and Applications, 50:2, 379-401.