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2002-08-16Buch DOI: 10.18452/8279
Risk aversion via excess probabilities in stochastic programs with mixed-integer recourse
dc.contributor.authorSchultz, Rüdiger
dc.contributor.authorTiedemann, Stephan
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:49:05Z
dc.date.available2017-06-16T19:49:05Z
dc.date.created2006-02-22
dc.date.issued2002-08-16
dc.date.submitted2002-07-08
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8931
dc.description.abstractWe consider linear two-stage stochastic programs with mixed-integer recourse. Instead of basing the selection of an optimal first-stage solution on expected costs alone, we include into the objective a risk term reflecting the probability that a preselected cost threshold is exceeded. After we have put the resulting mean-risk model into perspective with stochastic dominance, we study further structural properties of the model and derive some basic stability results. In the algorithmic part of the paper, we propose a scenario decomposition method and report initial computational experience.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstochastic programmingeng
dc.subjectmean-risk modelseng
dc.subjectmixed-integer optimizationeng
dc.subject.ddc510 Mathematik
dc.titleRisk aversion via excess probabilities in stochastic programs with mixed-integer recourse
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10058548
dc.identifier.urnurn:nbn:de:kobv:11-10058555
dc.identifier.doihttp://dx.doi.org/10.18452/8279
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages18
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2002
local.edoc.container-issue15
local.edoc.container-erstkatid2936317-2

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