Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk

DOI10.1007/s10107-019-01428-6zbMath1440.90033OpenAlexW2972988602WikidataQ127284519 ScholiaQ127284519MaRDI QIDQ2189450

E. Ruben van Beesten, Ward Romeijnders

Publication date: 15 June 2020

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-019-01428-6

zbMATH Keywords

stochastic programmingmean-risk modelsconvex approximationsconditional value-at-riskmixed-integer recourse

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (2)

Special issue: On the interface between optimization and probability ⋮ Parametric error bounds for convex approximations of two-stage mixed-integer recourse models with a random second-stage cost vector

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