Postoptimality for mean-risk stochastic mixed-integer programs and its application

DOI10.1007/S00186-011-0373-2zbMATH Open1286.90100OpenAlexW2009968411MaRDI QIDQ1935908FDOQ1935908

Authors: Zhiping Chen, Feng Zhang, Li Yang 

Publication date: 20 February 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-011-0373-2

Recommendations

• Postoptimality for multistage stochastic linear programs
• scientific article; zbMATH DE number 1047594
• Deviation measures in stochastic programming with mixed-integer recourse.
• Scenario-based stochastic programs: Resistance with respect to sample
• Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse

zbMATH Keywords

stochastic programmingmixed-integer programmingcontamination techniquepostoptimality

Mathematics Subject Classification ID

Stochastic programming (90C15) Mixed integer programming (90C11)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On consistency of stochastic dominance and mean-semideviation models
• Higher moment coherent risk measures
• Convexity and decomposition of mean-risk stochastic programs
• Stochastic programming with integer variables
• A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems
• Conditional value-at-risk in stochastic programs with mixed-integer recourse
• Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
• On deviation measures in stochastic integer programming
• Scenario-based stochastic programs: Resistance with respect to sample
• Stability and sensitivity-analysis for stochastic programming
• On structure and stability in stochastic programs with random technology matrix and complete integer recourse
• Quantitative stability of fully random mixed-integer two-stage stochastic programs
• Postoptimality for multistage stochastic linear programs
• Deviation measures in linear two-stage stochastic programming
• Stability in stochastic programming with recourse. Contaminated distributions
• Stress testing for VaR and CVaR

Cited In (4)

• Postoptimality for multistage stochastic linear programs
• Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
• Local stability and differentiability of the mean-conditional value at risk model defined on the mixed-integer loss functions
• Continuity and stability of fully random two-stage stochastic programs with mixed-integer recourse

This page was built for publication: Postoptimality for mean-risk stochastic mixed-integer programs and its application

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1935908)