Robust multicriteria risk-averse stochastic programming models
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Publication:1698287
DOI10.1007/s10479-017-2526-zzbMath1380.90203OpenAlexW2238200564MaRDI QIDQ1698287
Nilay Noyan, Simge Küçükyavuz, Xiao Liu
Publication date: 15 February 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://research.sabanciuniv.edu/35044/1/RobustCVaR_OO.pdf
stochastic programmingrobust optimizationrisk aversionmulticriteria optimizationmixed-integer programmingconditional value-at-riskcut generationmccormick envelopesRLT techniquestochastic Pareto optimality
Related Items (8)
Vector-valued multivariate conditional value-at-risk ⋮ Conditional value‐at‐risk beyond finance: a survey ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse ⋮ Optimization with Stochastic Preferences Based on a General Class of Scalarization Functions ⋮ Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity ⋮ Bi-objective facility location under uncertainty with an application in last-mile disaster relief ⋮ Two-stage stochastic programming under multivariate risk constraints with an application to humanitarian relief network design
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