Using integer programming for balancing return and risk in problems with individual chance constraints
DOI10.1016/J.COR.2014.03.026zbMATH Open1349.90661OpenAlexW2055166306MaRDI QIDQ342012FDOQ342012
Publication date: 17 November 2016
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2014.03.026
risk managementchance-constrained programmingmixed-integer programmingminimum cost flownetwork capacity design
Deterministic network models in operations research (90B10) Stochastic programming (90C15) Mixed integer programming (90C11)
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Cited In (8)
- Building Load Control Using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants
- Title not available (Why is that?)
- Vehicle routing with probabilistic capacity constraints
- Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
- Eco-friendly container transshipment route scheduling problem with repacking operations
- Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
- Integer programming approaches in mean-risk models
- Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
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