Format:
1 Online-Ressource (18 Seiten)
Series Statement:
Stochastic Programming E-Print Series 2002,2002,15
Content:
We 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.
Language:
English
URN:
urn:nbn:de:kobv:11-10058548
URN:
urn:nbn:de:kobv:11-10058555
URL:
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