An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management (Q337504): Difference between revisions

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scientific article

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English	An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management	scientific article

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scholarly article

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title

An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management (English)

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author

Dolores Romero Morales

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Laureano Fernando Escudero Bueno

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Juan Francisco Monge

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published in

Computers \& Operations Research

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publication date

10 November 2016

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zbMATH Keywords

multiperiod stochastic mixed 0-1 linear programming

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risk averse

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stochastic dominance constraints

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stochastic dynamic programming

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cross-scenario constraints

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describes a project that uses

CPLEX

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DDSIP

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cor.2014.12.007

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cites work

Convexity and decomposition of mean-risk stochastic programs

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Risk-averse two-stage stochastic programs in furniture plants

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Medium range optimization of copper extraction planning under uncertainty in future copper prices

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An approach for strategic supply chain planning under uncertainty based on stochastic 0-1 programming

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On solving the multi-period single-sourcing problem under uncertainty

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Coherent Measures of Risk

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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

0 references

Dual decomposition in stochastic integer programming

0 references

Risk aversion for an electricity retailer with second-order stochastic dominance constraints

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On stochastic dynamic programming for solving large-scale planning problems under uncertainty

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Scenario optimization

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Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse

0 references

Optimization with Stochastic Dominance Constraints

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Robust stochastic dominance and its application to risk-averse optimization

0 references

Q3415352

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An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees

0 references

A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse

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Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse

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Duality in stochastic linear and dynamic programming

0 references

Integrated chance constraints: reduced forms and an algorithm

0 references

From stochastic dominance to mean-risk models: Semideviations as risk measures

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Q3528030

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Approximate Dynamic Programming

0 references

Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse

0 references

Supply chain design under uncertainty using sample average approximation and dual decomposition

0 references

Risk neutral and risk averse stochastic dual dynamic programming method

0 references

<i>L</i>-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

0 references

Stochastic Dominance and Applications to Finance, Risk and Economics

0 references

Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program

0 references

Multicut Benders decomposition algorithm for process supply chain planning under uncertainty

0 references

Identifiers

zbMATH Open document ID

1348.90502

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DOI

10.1016/j.cor.2014.12.007

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:337504

@@ Property / cites work @@
+Convexity and decomposition of mean-risk stochastic programs
+Normal rank
@@ Property / cites work @@
+Risk-averse two-stage stochastic programs in furniture plants
+Normal rank
@@ Property / cites work @@
+Medium range optimization of copper extraction planning under uncertainty in future copper prices
+Normal rank
@@ Property / cites work @@
+An approach for strategic supply chain planning under uncertainty based on stochastic 0-1 programming
+Normal rank
@@ Property / cites work @@
+On solving the multi-period single-sourcing problem under uncertainty
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
+Normal rank
@@ Property / cites work @@
+Dual decomposition in stochastic integer programming
+Normal rank
@@ Property / cites work @@
+Risk aversion for an electricity retailer with second-order stochastic dominance constraints
+Normal rank
@@ Property / cites work @@
+On stochastic dynamic programming for solving large-scale planning problems under uncertainty
+Normal rank
@@ Property / cites work @@
+Scenario optimization
@@ Property / cites work: Scenario optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
+Normal rank
@@ Property / cites work @@
+Optimization with Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+Robust stochastic dominance and its application to risk-averse optimization
+Normal rank
@@ Property / cites work @@
+Q3415352
@@ Property / cites work: Q3415352 / rank @@
+Normal rank
@@ Property / cites work @@
+An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees
+Normal rank
@@ Property / cites work @@
+A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
+Normal rank
@@ Property / cites work @@
+Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
+Normal rank
@@ Property / cites work @@
+Duality in stochastic linear and dynamic programming
+Normal rank
@@ Property / cites work @@
+Integrated chance constraints: reduced forms and an algorithm
+Normal rank
@@ Property / cites work @@
+From stochastic dominance to mean-risk models: Semideviations as risk measures
+Normal rank
@@ Property / cites work @@
+Q3528030
@@ Property / cites work: Q3528030 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximate Dynamic Programming
@@ Property / cites work: Approximate Dynamic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
+Normal rank
@@ Property / cites work @@
+Supply chain design under uncertainty using sample average approximation and dual decomposition
+Normal rank
@@ Property / cites work @@
+Risk neutral and risk averse stochastic dual dynamic programming method
+Normal rank
@@ Property / cites work @@
+<i>L</i>-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
+Normal rank
@@ Property / cites work @@
+Stochastic Dominance and Applications to Finance, Risk and Economics
+Normal rank
@@ Property / cites work @@
+Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
+Normal rank
@@ Property / cites work @@
+Multicut Benders decomposition algorithm for process supply chain planning under uncertainty
+Normal rank