|edoc-Server der Humboldt-Universität zu Berlin|
Thomas Heinze, University of Duisburg-Essen|
Rüdiger Schultz, University of Duisburg-Essen
|Title:||A Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives|
|Date of Acceptance:||03.06.2007|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10078083)|
|Keywords (eng):||stochastic integer programming, mean-risk models, mixed-integer optimization, multistage models|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
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|We identify multistage stochastic integer programs with risk objectives where the related wait-and-see problems enjoy similar separability as in the risk neutral case. For models belonging to this class we present a solution method combining branch-and-bound with relaxation of nonanticipativity and constraint branching along nonanticipativity subspaces.|
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