Browsing Volume 2004 by Subject "Stochastic programming"
Now showing items 14 of 4

20040913BuchConditional valueatrisk in stochastic programs with mixedinteger recourse In classical twostage stochastic programming the expected value of the total costs is minimized. Recently, meanrisk models  studied in mathematical finance for several decades  have attracted attention in stochastic ...

20040301BuchConvexification of stochastic ordering We consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed ...

20040416BuchMeanrisk objectives in stochastic programming Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing risk in decision making problems is to consider a ...

20040913BuchOn deviation measures in stochastic integer programming We propose extensions of traditional expectationbased stochastic integer programs to meanrisk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We ...