On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
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Publication:320895
DOI10.1016/J.EJOR.2015.03.050zbMATH Open1346.90628OpenAlexW2093101965MaRDI QIDQ320895FDOQ320895
A. Garin, Laureano F. Escudero Bueno, Gloria Pérez, María Merino
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.03.050
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mixed 0-1 deterministic equivalent modelmultistage stochastic mixed 0-1 optimizationrisk averse measuresscenario clusteringstochastic dominance constraints
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Cited In (14)
- ALM models based on second order stochastic dominance
- Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball
- Individual optimal pension allocation under stochastic dominance constraints
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- On risk management of a two-stage stochastic mixed 0-1 model for the closed-loop supply chain design problem
- On efficient matheuristic algorithms for multi-period stochastic facility location-assignment problems
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- On parallelization of a stochastic dynamic programming algorithm for solving large-scale mixed \(0-1\) problems under uncertainty
- A parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problems
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
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