Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
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Publication:2069234
DOI10.1007/S10479-021-04388-3zbMath1478.90065OpenAlexW3215990786MaRDI QIDQ2069234
Publication date: 20 January 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-021-04388-3
boundscutting planesrisk-averseconditional value-at-risk (CVaR)partial ordering of scenariosstage-\(t\) scenario dominancestochastic dynamic knapsack problemtime-consistent mean-risk multi-stage stochastic mixed-integer programs
Statistical methods; risk measures (91G70) Integer programming (90C10) Mixed integer programming (90C11) Stochastic programming (90C15) Combinatorial optimization (90C27)
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