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2004-09-13Buch DOI: 10.18452/8324
Conditional value-at-risk 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.accessioned2017-06-16T20:00:15Z
dc.date.available2017-06-16T20:00:15Z
dc.date.created2006-03-02
dc.date.issued2004-09-13
dc.date.submitted2004-04-26
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8976
dc.description.abstractIn classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models -- studied in mathematical finance for several decades -- have attracted attention in stochastic programming. We consider Conditional Value-at-Risk as risk measures in the framework of two-stage stochastic integer programming. The paper addresses structure, stability, and algorithms for this class of models. In particular, we study continuity properties of the objective function, both with respect to the first-stage decisions and the integrating probability measure. Further, we present an explicit mixed-integer linear programming formulation of the problem when the probability distribution is discrete and finite. Finally, a solution algorithm based on Lagrangean relaxation of nonanticipativity is proposed.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.subjectconditional value-at-riskeng
dc.subject.ddc510 Mathematik
dc.titleConditional value-at-risk in stochastic programs with mixed-integer recourse
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059621
dc.identifier.doihttp://dx.doi.org/10.18452/8324
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2004
local.edoc.container-issue20
local.edoc.container-erstkatid2936317-2

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