Risk Aversion in Two-Stage Stochastic Integer Programming
From MaRDI portal
Publication:3001274
DOI10.1007/978-1-4419-1642-6_8zbMath1246.90111OpenAlexW2183024472MaRDI QIDQ3001274
Publication date: 31 May 2011
Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4419-1642-6_8
Related Items
A mean-risk mixed integer nonlinear program for transportation network protection, Two-stage absolute semi-deviation mean-risk stochastic programming: an application to the supply chain replenishment problem, Distributionally robust simple integer recourse, Stochastic multi-objective optimization: a survey on non-scalarizing methods, Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Proximity control in bundle methods for convex nondifferentiable minimization
- The value function of a mixed integer program: I
- Dual decomposition in stochastic integer programming
- A spectral bundle method with bounds
- BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0--1 programs.
- An approach for strategic supply chain planning under uncertainty based on stochastic 0-1 programming
- On robust optimization of two-stage systems
- Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Duality gaps in nonconvex stochastic optimization
- Applying the minimum risk criterion in stochastic recourse programs
- On structure and stability in stochastic programs with random technology matrix and complete integer recourse
- Deviation measures in linear two-stage stochastic programming
- Coherent multiperiod risk adjusted values and Bellman's principle
- On deviation measures in stochastic integer programming
- Convexity and decomposition of mean-risk stochastic programs
- Conditional value-at-risk in stochastic programs with mixed-integer recourse
- Local epi-continuity and local optimization
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Introduction to Stochastic Programming
- Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
- Optimization with Stochastic Dominance Constraints
- Dual Stochastic Dominance and Related Mean-Risk Models
- Robust Optimization of Large-Scale Systems
- Polyhedral Risk Measures in Stochastic Programming
- Frontiers of Stochastically Nondominated Portfolios
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
- Some aspects of stability in stochastic programming