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

DOI10.1080/02331930701779906zbMATH Open1134.90453OpenAlexW2073815369MaRDI QIDQ3498593FDOQ3498593

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

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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)

Cites Work

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

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
• Title not available (Why is that?)
• A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems

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