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2009-10-16Buch DOI: 10.18452/8405
Risk-Averse Two-Stage Stochastic LinearProgramming: Modeling and Decomposition
dc.contributor.authorMiller, N.
dc.contributor.authorRuszczynski, A.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:21:12Z
dc.date.available2017-06-16T20:21:12Z
dc.date.created2009-10-22
dc.date.issued2009-10-16
dc.date.submitted2009-09-01
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9057
dc.description.abstractWe formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures.We analyze properties of the problem and derive necessary and sufficientoptimality conditions. Next, we construct two decomposition methods forsolving the problem. The first method is based on the generic cutting planeapproach, while the second method exploits the composite structure of the objective function. We illustrate their performance on a portfolio optimization problem.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.subject.ddc510 Mathematik
dc.titleRisk-Averse Two-Stage Stochastic LinearProgramming: Modeling and Decomposition
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100101218
dc.identifier.doihttp://dx.doi.org/10.18452/8405
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages20
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue7
local.edoc.container-erstkatid2936317-2

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