版权说明 操作指南
首页 > 成果 > 详情

Robust reward-risk ratio optimization with application in allocation of generation asset

认领
导出
Link by 万方学术期刊
反馈
分享
QQ微信 微博
成果类型:
期刊论文
作者:
Tong, Xiaojiao*;Wu, Felix
通讯作者:
Tong, Xiaojiao
作者机构:
[Tong, Xiaojiao] Hengyang Normal Univ, Dept Math & Comp Sci, Hengyang 421002, Peoples R China.
[Wu, Felix] Univ Hong Kong, Dept Elect & Elect Engn, Hong Kong, Hong Kong, Peoples R China.
通讯机构:
[Tong, Xiaojiao] H
Hengyang Normal Univ, Dept Math & Comp Sci, Hengyang 421002, Peoples R China.
语种:
英文
关键词:
reward-risk measure;performance ratio;min-max optimization;CVaR measure;allocation of generation asset
期刊:
Optimization
ISSN:
0233-1934
年:
2014
卷:
63
期:
11
页码:
1761-1779
基金类别:
Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [10871031, 11171095]; construct program of the key discipline in Hunan province; Natural Science united Foundation of Hunan-Hengyang [10JJ8008]; Education Department of Hunan [10A015]; Research Grants CouncilHong Kong Research Grants Council [HKU7180/08E]
机构署名:
本校为第一且通讯机构
院系归属:
数学与统计学院
摘要:
In this article, we study reward–risk ratio models under partially known message of random variables, which is called robust (worst-case) performance ratio problem. Based on the positive homogenous and concave/convex measures of reward and risk, respectively, the new robust ratio model is reduced equivalently to convex optimization problems with a min–max optimization framework. Under some specially partial distribution situation, the convex optimization problem is converted into simple framework involving the expectation reward measure and c...

反馈

验证码:
看不清楚,换一个
确定
取消

成果认领

标题:
用户 作者 通讯作者
请选择
请选择
确定
取消

提示

该栏目需要登录且有访问权限才可以访问

如果您有访问权限,请直接 登录访问

如果您没有访问权限,请联系管理员申请开通

管理员联系邮箱:yun@hnwdkj.com