Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
We propose a semidefinite optimization (SDP) model for the class of minimax two-stage stochastic linear optimization problems with risk aversion. The distribution of second-stage random variables belongs to a set of multivariate distributions with known first and second moments. For the minimax stochastic problem with random objective, we provide a …