Polyhedral Coherent Risk Measures and Robust Optimization
Sign Up to like & getrecommendations! Published in 2019 at "Cybernetics and Systems Analysis"
DOI: 10.1007/s10559-019-00210-y
Abstract: Properties of the apparatus of polyhedral coherent risk measures, its relationship with problems of robust and distributionally robust optimization, as well as its application under uncertainty are described. Problems of calculating robust structures of polyhedral… read more here.
Keywords: risk measures; polyhedral coherent; coherent risk; robust optimization ... See more keywords
Multiple shooting applied to robust reservoir control optimization including output constraints on coherent risk measures
Sign Up to like & getrecommendations! Published in 2017 at "Computational Geosciences"
DOI: 10.1007/s10596-017-9625-4
Abstract: The production life of oil reservoirs starts under significant uncertainty regarding the actual economical return of the recovery process due to the lack of oil field data. Consequently, investors and operators make management decisions based… read more here.
Keywords: risk; multiple shooting; reservoir; coherent risk ... See more keywords