(SPEPS)
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): | Csaba I. Fabian, University of Budapest | Title: | Decomposing CVaR minimization in two-stage stochastic models |
| Date of Acceptance: | 29.12.2005 |
| Submission Date: | 14.10.2005 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| To appear in: | EJOR |
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| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Based on the polyhedral representation of Künzi-Bay and Mayer (2005), we propose a decomposition framework for the minimization of CVaR in two-stage stochastic models. We show that the decomposed problems can be effectively solved by a special inexact-cut method. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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