Risk-Averse Optimization in Two-Stage Stochastic Models: Computational Aspects and a Study

DOI10.1137/130918216zbMath1358.90087OpenAlexW2052634781MaRDI QIDQ2954375

Achim Koberstein, Christian Wolf, Csaba I. Fábián, Leena M. Suhl

Publication date: 13 January 2017

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130918216

zbMATH Keywords

stochastic programmingregularizationconvex programmingcutting-plane methodsrisk-averse models

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Related Items (11)

Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support ⋮ Risk-averse formulations and methods for a virtual power plant ⋮ A mean-risk mixed integer nonlinear program for transportation network protection ⋮ Computational study of decomposition algorithms for mean-risk stochastic linear programs ⋮ Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse ⋮ Multiplier stabilization applied to two-stage stochastic programs ⋮ Acceleration techniques for level bundle methods in weakly smooth convex constrained optimization ⋮ Constraint generation for risk averse two-stage stochastic programs ⋮ Multi-stage distributionally robust optimization with risk aversion ⋮ Stochastic hydro-thermal unit commitment via multi-level scenario trees and bundle regularization ⋮ An Adaptive Partition-Based Approach for Solving Two-Stage Stochastic Programs with Fixed Recourse

Uses Software

• MSLiP

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