Two-stage combinatorial optimization problems under risk
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Publication:2283029
Abstract: In this paper a class of combinatorial optimization problems is discussed. It is assumed that a solution can be constructed in two stages. The current first-stage costs are precisely known, while the future second-stage costs are only known to belong to an uncertainty set, which contains a finite number of scenarios with known probability distribution. A partial solution, chosen in the first stage, can be completed by performing an optimal recourse action, after the true second-stage scenario is revealed. A solution minimizing the Conditional Value at Risk (CVaR) measure is computed. Since expectation and maximum are boundary cases of CVaR, the model generalizes the traditional stochastic and robust two-stage approaches, previously discussed in the existing literature. In this paper some new negative and positive results are provided for basic combinatorial optimization problems such as the selection or network problems.
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Cited in
(6)- Solving robust two-stage combinatorial optimization problems under convex uncertainty
- Robust two-stage combinatorial optimization problems under convex second-stage cost uncertainty
- Two-stage robust optimization problems with two-stage uncertainty
- Min-max-min robustness for combinatorial problems with discrete budgeted uncertainty
- Combinatorial two-stage minmax regret problems under interval uncertainty
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