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2007-06-03Buch DOI: 10.18452/8377
A Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives
dc.contributor.authorHeinze, Thomas
dc.contributor.authorSchultz, Rüdiger
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:13:55Z
dc.date.available2017-06-16T20:13:55Z
dc.date.created2007-06-11
dc.date.issued2007-06-03
dc.date.submitted2007-01-08
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9029
dc.description.abstractWe 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 classwe present a solution method combining branch-and-bound with relaxation of nonanticipativity andconstraint branching along nonanticipativity subspaces.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic integer programmingeng
dc.subjectmean-risk modelseng
dc.subjectmixed-integer optimizationeng
dc.subjectmultistage modelseng
dc.subject.ddc510 Mathematik
dc.titleA Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10078083
dc.identifier.doihttp://dx.doi.org/10.18452/8377
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages14
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue5
local.edoc.container-erstkatid2936317-2

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