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SPEPS Preprint

Author(s): Rüdiger Schultz, Gerhard-Mercator University Duisburg
Stephan Tiedemann, Gerhard-Mercator University Duisburg
Title: Risk aversion via excess probabilities in stochastic programs with mixed-integer recourse
Date of Acceptance: 16.08.2002
Submission Date: 08.07.2002
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10058548)
ps (urn:nbn:de:kobv:11-10058555)
Keywords (eng): stochastic programming, mean-risk models, mixed-integer optimization
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Abstract (eng):
We consider linear two-stage stochastic programs with mixed-integer recourse. Instead of basing the selection of an optimal first-stage solution on expected costs alone, we include into the objective a risk term reflecting the probability that a preselected cost threshold is exceeded. After we have put the resulting mean-risk model into perspective with stochastic dominance, we study further structural properties of the model and derive some basic stability results. In the algorithmic part of the paper, we propose a scenario decomposition method and report initial computational experience.
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