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Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems

Bibliographic reference de Maere d'Aertrycke, Gauthier ; Shapiro, Alexander ; Smeers, Yves. Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems. In: Mathematical Methods of Operations Research, Vol. 77, no.3, p. 393-405 (2013)
Permanent URL http://hdl.handle.net/2078.1/139765
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