Abstract

This report addresses the general matter of optimisation under uncertainties, following a previous report on stochastic sensitivities (deliverable 6.2). It describes several theoretical methods, as well their application into implementable algorithms. The specific case of the conditional value at risk chosen as risk measure, with its challenges, is prominently discussed. In particular, the issue of smoothness – or lack thereof – is addressed through several possible approaches. The whole report is written in the context of high-performance computing, with concern for parallelisation and cost-efficiency.

Full Document

The PDF file did not load properly or your web browser does not support viewing PDF files. Download directly to your device: Download PDF document
Back to Top

Document information

Published on 14/01/21

DOI: 10.23967/exaqute.2021.2.001
Licence: CC BY-NC-SA license

Document Score

0

Views 28
Recommendations 0

Share this document

claim authorship

Are you one of the authors of this document?