Method and system for solving stochastic linear programs...

Details Method and system for solving stochastic linear programs... Method and system for solving stochastic linear programs...

2011-01-18

2011-01-18

Cheung, Mary (Department: 3694)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Operations research or analysis

C705S014270

Reexamination Certificate

active

07873530

ABSTRACT:
An apparatus including a calculator to determine an optimal solution to a stochastic linear programming problem or a stochastic mixed-ineteger linear programming problem with conditional value at risk constraints (CVaRs). The optimal solution is determined by generating a sequence of solutions that converge to the optimal solution.

REFERENCES:
patent: 2005/0207531 (2005-09-01), Dempsey et al.
“Optimization of Conditional Value-At-Risk” by R. T. Rockafellar, et al., in the spring, 2000, Journal of Risk, vol. 2, No. 3.

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