A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures

DOI10.1287/IJOC.2014.0635MaRDI QIDQ3466784zbMATH OpenOpenAlexFDO

Authors Maciej Rysz, Alexander Vinel, Eduardo L. Pasiliao, Pavlo A. Krokhmal

Publication date 25 January 2016

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/546173612eef18e6845c0d39d5370b7b79cde49a

zbMATH Keywords

stochastic optimizationrisk measuresutility theorycertainty equivalentscenario decomposition\(\log\)-exponential convex risk measureshigher-moment coherent risk measures

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795843 (Why is no real title available?)
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• Higher moment coherent risk measures
• Integrated chance constraints: reduced forms and an algorithm
• Lectures on Stochastic Programming
• New variants of bundle methods
• On \(p\)-norm linear discrimination
• On valid inequalities for mixed integer \(p\)-order cone programming
• Optimization of risk measures
• Polyhedral approximations in \(p\)-order cone programming
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• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Risk optimization with p-order conic constraints: a linear programming approach
• Second-order cone programming

Cited in

(6)

• Two-stage international portfolio models with higher moment risk measures
• Risk-averse stochastic programming and distributionally robust optimization via operator splitting
• Mixed integer programming with a class of nonlinear convex constraints
• Convexity and decomposition of mean-risk stochastic programs
• A model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms
• Stochastic decomposition for risk-averse two-stage stochastic linear programs

Describes a project that uses

Uses Software

• Mosek
• Gurobi
• CPLEX

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