A branch-and-bound method for multistage stochastic integer programs with risk objectives

DOI10.1080/02331930701779906MaRDI QIDQ3498593zbMATH OpenOpenAlexFDO

Authors Thomas S. Heinze, Rüdiger Schultz

Publication date 15 May 2008

Published in Optimization (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/18452/9029

zbMATH Keywords

mean-risk modelsstochastic integer programmingmixed-integer optimizationmultistage models

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Stochastic programming (90C15) Mixed integer programming (90C11)

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Cites work

• A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems
• An approach for strategic supply chain planning under uncertainty based on stochastic 0-1 programming
• BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0--1 programs.
• Coherent measures of risk
• Comparison methods for stochastic models and risks
• Conditional value-at-risk in stochastic programs with mixed-integer recourse
• Dual Stochastic Dominance and Related Mean-Risk Models
• Dual decomposition in stochastic integer programming
• Duality gaps in nonconvex stochastic optimization
• On deviation measures in stochastic integer programming
• Optimization with Stochastic Dominance Constraints
• Polyhedral Risk Measures in Stochastic Programming
• Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
• Risk neutral and risk averse power optimization in electricity networks with dispersed generation
• Stochastic Lagrangian relaxation applied to power scheduling in a hydro-thermal system under uncertainty
• Variational Analysis

Cited in

(6)

• A branch and bound method for stochastic integer problems under probabilistic constraints
• A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs
• Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
• Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
• scientific article; zbMATH DE number 5713490 (Why is no real title available?)
• A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems

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