| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5128358 | Operations Research Letters | 2017 | 5 Pages |
Abstract
In this paper we consider interchangeability of the minimization operator with monotone risk functionals. In particular we discuss the role of strict monotonicity of the risk functionals. We also discuss implications to solutions of dynamic programming equations of risk averse multistage stochastic programming problems.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Alexander Shapiro,