Risk minimization, regret minimization and progressive hedging algorithms

Sun, J; Yang, XM; Yao, Q; Zhang, M

Zhang, M (corresponding author), Chinese Acad Sci, Xinjiang Inst Ecol & Geog, State Key Lab Desert & Oasis Ecol, Urumqi, Peoples R China.; Zhang, M (corresponding author), Univ Chinese Acad Sci, Beijing, Peoples R China.

MATHEMATICAL PROGRAMMING, 2020; 181 (2): 509

Abstract

This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under u......

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