An extension of an interior-point method to include risk aversion in large-scale multistage stochastic optimization
In the earlier paper “On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach, European Journal of Operational Research, 310 (2023), 268–285” the authors presented a novel approach based on a specialized interior-point method (IPM) for solving (risk neutral) large-scale multistage stochastic optimization problems. The method computed the Newton direction by combining … Read more