Deviation measures in linear two-stage stochastic programming

DOI10.1007/s00186-005-0006-8zbMath1109.90065OpenAlexW2037877515MaRDI QIDQ2433239

Trine Krogh Kristoffersen

Publication date: 27 October 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0006-8

zbMATH Keywords

mean-risk modelslinear two-stage stochastic programmming

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (6)

Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Postoptimality for mean-risk stochastic mixed-integer programs and its application ⋮ Computational study of decomposition algorithms for mean-risk stochastic linear programs ⋮ Risk Aversion in Two-Stage Stochastic Integer Programming ⋮ A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem ⋮ A risk-averse approach for the planning of a hybrid energy system with conventional hydropower

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic programming with integer variables
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Strong convexity in stochastic programs with complete recourse
• Lifting projections of convex polyhedra
• On Deviation Measures in Stochastic Integer Programming
• On the Regularity of the Kuhn–Tucker Curve
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Stability in Two-Stage Stochastic Programming
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• Introduction to Stochastic Programming
• Some aspects of stability in stochastic programming
• On consistency of stochastic dominance and mean-semideviation models

This page was built for publication: Deviation measures in linear two-stage stochastic programming