Cardinality of upper average and its application to network optimization

DOI10.1137/16M1095913MaRDI QIDQ4564778zbMATH OpenOpenAlexWikidataFDO

Authors Matthew Norton, Alexander Mafusalov, Stan Uryasev

Publication date 12 June 2018

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/16m1095913

zbMATH Keywords

linear programmingmixed integer programmingconditional value-at-risknetwork optimizationbuffered probability of exceedancecardinality of upper average

Mathematics Subject Classification ID

Convex programming (90C25) Linear programming (90C05) Programming involving graphs or networks (90C35) Applications of mathematical programming (90C90) Mixed integer programming (90C11)

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Cites work

• scientific article; zbMATH DE number 1239298 (Why is no real title available?)
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• CVaR (superquantile) norm: stochastic case
• CVaR norm and applications in optimization
• Chance-constrained optimal power flow: risk-aware network control under uncertainty
• Network flows. Theory, algorithms, and applications.
• On ordered weighted averaging aggregation operators in multicriteria decisionmaking
• Robust capacity expansion of network flows
• Robust linear optimization under general norms.
• Stochastic finance. An introduction in discrete time.
• Using mixed-integer programming to solve power grid blackout problems

Cited in

(6)

• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Soft margin support vector classification as buffered probability minimization
• Shortest path network problems with stochastic arc weights
• Derivatives and subderivatives of buffered probability of exceedance
• Buffered-ranking intervals for virtual profit efficiency analysis
• Minimizing buffered probability of exceedance by progressive hedging

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