|edoc-Server der Humboldt-Universität zu Berlin|
Rüdiger Schultz, University of Duisburg-Essen|
Stephan Tiedemann, University of Duisburg-Essen
|Title:||Conditional value-at-risk in stochastic programs with mixed-integer recourse|
|Date of Acceptance:||13.09.2004|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059621)|
|Keywords (eng):||Stochastic programming, mean-risk models, mixed-integer optimization, conditional value-at-risk|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models -- studied in mathematical finance for several decades -- have attracted attention in stochastic programming. We consider Conditional Value-at-Risk as risk measures in the framework of two-stage stochastic integer programming. The paper addresses structure, stability, and algorithms for this class of models. In particular, we study continuity properties of the objective function, both with respect to the first-stage decisions and the integrating probability measure. Further, we present an explicit mixed-integer linear programming formulation of the problem when the probability distribution is discrete and finite. Finally, a solution algorithm based on Lagrangean relaxation of nonanticipativity is proposed.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jul 2011: