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

DOI10.1007/S00186-011-0373-2MaRDI QIDQ1935908zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

contamination techniquemixed-integer programmingpostoptimalitystochastic programming

Mathematics Subject Classification ID

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

Review text

The mean-risk stochastic mixed-integer programming problem is considered where the recourse cost vector, the technology matrix, and the right-hand side vector in the second-stage problem are all random. The contamination technique is adopted for the postoptimality analysis. The continuity and differentiability of the optimal value function with respect to the parameter in the contaminated distribution is proved. The obtained results are applied to investigate the postoptimality of a stochastic mixed-integer programming problem with risk objective where the objective nonlinearly depends on the probability distribution.

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Cites work

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Cited in

(6)

• Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
• Postoptimality for multistage stochastic linear programs
• Local stability and differentiability of the mean-conditional value at risk model defined on the mixed-integer loss functions
• scientific article; zbMATH DE number 1047594 (Why is no real title available?)
• Continuity and stability of fully random two-stage stochastic programs with mixed-integer recourse
• Asymptotics for the conditional higher moment coherent risk measure with weak contagion

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