Cybernetics and Systems Analysis

, Volume 55, Issue 6, pp 999–1008 | Cite as

Polyhedral Coherent Risk Measures and Robust Optimization

  • V. S. KirilyukEmail author


Properties of the apparatus of polyhedral coherent risk measures, its relationship with problems of robust and distributionally robust optimization, as well as its application under uncertainty are described. Problems of calculating robust structures of polyhedral coherent risk measures and their minimization, which are reduced to the corresponding linear programming problems, are considered.


polyhedral coherent risk measure Conditional Value-at-Risk robust optimization distributionally robust optimization uncertainty set linear programming 


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© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.V. M. Glushkov Institute of CyberneticsNational Academy of Sciences of UkraineKyivUkraine

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