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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|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Keywords (eng):||stochastic programming, mean-risk models, mixed-integer optimization|
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|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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