Browsing by Author "Eichhorn, Andreas"

Now showing items 1-3 of 3

2005-11-02Buch

Polyhedral Risk Measures in Stochastic Programming

Eichhorn, Andreas; Römisch, Werner

Stochastic 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 ...
2006-12-14Buch

Stability of multistage stochastic programs incorporating polyhedral risk measures

Eichhorn, Andreas; Römisch, Werner

We 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 ...
2005-02-25Buch

Stochastic integer programming

Limit theorems and confidence intervals

Eichhorn, Andreas; Römisch, Werner

We 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 ...