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Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation

Charles Audet, Jean Bigeon, Romain Couderc and Michael Kokkolaras

Technical Report (2022)

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Department: Department of Mathematics and Industrial Engineering
Research Center: GERAD - Research Group in Decision Analysis
PolyPublie URL: https://publications.polymtl.ca/64281/
Report number: G-2022-04
Official URL: https://www.gerad.ca/fr/papers/G-2022-04
Date Deposited: 27 Mar 2025 15:58
Last Modified: 27 Mar 2025 15:58
Cite in APA 7: Audet, C., Bigeon, J., Couderc, R., & Kokkolaras, M. (2022). Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation. (Technical Report n° G-2022-04). https://www.gerad.ca/fr/papers/G-2022-04

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