conditional value at risk (Cvar)

Problems with syntax of GAMS
Post Reply
behrad
User
User
Posts: 4
Joined: 4 years ago

conditional value at risk (Cvar)

Post by behrad »

Hi
I have a risk-constrained two-stage stochastic optimization problem. However, the Cvar value does not change with the Beta changes. (Beta is Weighting factor for the values of expected cost and risk).
Can anyone guide me on this?
Post Reply