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Browsing by Author "Eichhorn, Andreas"
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2005-11-02BuchPolyhedral Risk Measures in Stochastic Programming Eichhorn, Andreas; Römisch, WernerStochastic programs that do not only minimize expected cost but also take into account risk are of great interest in many application fields. We consider stochastic programs with risk measures in the objective and study ...
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2006-12-14BuchStability of multistage stochastic programs incorporating polyhedral risk measures Eichhorn, Andreas; Römisch, WernerWe analyse stability aspects of linear multistage stochastic programs with polyhedral risk measures inthe objective. In particular, we consider sensitivity of the optimal value with respect perturbations ofthe underlying ...
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2005-02-25BuchStochastic integer programming Eichhorn, Andreas; Römisch, WernerWe consider empirical approximations of two-stage stochastic mixed-integer programs and derive central limit theorems for the objectives and optimal values. The limit theorems are based on empirical process theory and the ...