Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk (Q2189450): Difference between revisions

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Language	Label	Description	Also known as
English	Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk	scientific article

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scholarly article

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Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk (English)

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E. Ruben van Beesten

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Ward Romeijnders

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Mathematical Programming. Series A. Series B

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publication date

15 June 2020

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zbMATH Keywords

stochastic programming

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mean-risk models

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conditional value-at-risk

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mixed-integer recourse

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convex approximations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10107-019-01428-6

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Convexity and decomposition of mean-risk stochastic programs

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A finite branch-and-bound algorithm for two-stage stochastic integer programs

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Risk-averse two-stage stochastic programs in furniture plants

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Stochastic network models for logistics planning in disaster relief

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Improving the Integer L-Shaped Method

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Coherent Measures of Risk

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Tight Second Stage Formulations in Two-Stage Stochastic Mixed Integer Programs

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A stochastic programming approach for the optimal management of aggregated distributed energy resources

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The value function of a mixed integer program. II

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Strengthened Benders Cuts for Stochastic Integer Programs with Continuous Recourse

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Dual decomposition in stochastic integer programming

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Sensitivity theorems in integer linear programming

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An Introduction to Heavy-Tailed and Subexponential Distributions

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Decomposition algorithms with parametric Gomory cuts for two-stage stochastic integer programs

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Some polyhedra related to combinatorial problems

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Supply chain network design under uncertainty: a comprehensive review and future research directions

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A Two-Stage Stochastic Integer Programming Approach to Integrated Staffing and Scheduling with Application to Nurse Management

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Simple integer recourse models: convexity and convex approximations

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The Sample Average Approximation Method for Stochastic Discrete Optimization

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The integer \(L\)-shaped method for stochastic integer programs with complete recourse

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Stochastic Dominance and Expected Utility: Survey and Analysis

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Stochastic programming with simple integer recourse

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A mean-risk mixed integer nonlinear program for transportation network protection

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Bounds on the Expectation of a Convex Function of a Multivariate Random Variable

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Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition

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Risk-averse two-stage stochastic programming with an application to disaster management

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Dual Stochastic Dominance and Related Mean-Risk Models

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The ancestral Benders' cutting plane algorithm with multi-term disjunctions for mixed-integer recourse decisions in stochastic programming

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Solving stochastic programming problems with risk measures by progressive hedging

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Convex Approximations for Totally Unimodular Integer Recourse Models: A Uniform Error Bound

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A Convex Approximation for Two-Stage Mixed-Integer Recourse Models with a Uniform Error Bound

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Total variation bounds on the expectation of periodic functions with applications to recourse approximations

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Assessing the Quality of Convex Approximations for Two-Stage Totally Unimodular Integer Recourse Models

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Conditional value-at-risk in stochastic programs with mixed-integer recourse

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The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification

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Reverse logistics network design and planning utilizing conditional value at risk

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Effective location models for sorting recyclables in public management

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Convex approximations for complete integer recourse models

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Convex approximations for a class of mixed-integer recourse models

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

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Lifting projections of convex polyhedra

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Finitely Convergent Decomposition Algorithms for Two-Stage Stochastic Pure Integer Programs

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Decomposition Algorithms for Risk-Averse Multistage Stochastic Programs with Application to Water Allocation under Uncertainty

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Identifiers

zbMATH Open document ID

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10.1007/s10107-019-01428-6

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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