2007-06-03Buch DOI: 10.18452/3002
A Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives
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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