Robust multicriteria risk-averse stochastic programming models
type: Item
instance of: scholarly article
title: Robust multicriteria risk-averse stochastic programming models
zbMATH Open document ID: 1380.90203
author: Simge Küçükyavuz
author: Nilay Noyan
author: Xiao Liu
published in: Annals of Operations Research
publication date: 2018-02-15T00:00:00Z
full work available at URL: RobustCVaR OO.pdf
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C29
zbMATH DE Number: 6839490
zbMATH Keywords: stochastic programming
zbMATH Keywords: risk aversion
zbMATH Keywords: robust optimization
zbMATH Keywords: multicriteria optimization
zbMATH Keywords: stochastic Pareto optimality
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: cut generation
zbMATH Keywords: mixed-integer programming
zbMATH Keywords: mccormick envelopes
zbMATH Keywords: RLT technique
MaRDI profile type: Publication
OpenAlex ID: W2238200564
cites work: Coherent measures of risk
cites work: A multi-objective multi-period stochastic programming model for public debt management
cites work: Solution approaches for the multiobjective stochastic programming
cites work: Distributional efficiency in multiobjective stochastic linear programming
cites work: Q3182207
cites work: Theory and Applications of Robust Optimization
cites work: Comparison of Weighting Judgments in Multiattribute Utility Measurement
cites work: Consistent risk measures for portfolio vectors
cites work: Optimization with multivariate stochastic dominance constraints
cites work: Multicriteria Optimization
cites work: Minmax robustness for multi-objective optimization problems
cites work: Law invariant risk measures on L ∞ (ℝ d )<i />
cites work: Relaxations and discretizations for the pooling problem
cites work: Stochastic multi-objective optimization: a survey on non-scalarizing methods
cites work: Set-valued average value at risk and its computation
cites work: A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints
cites work: Sample average approximation of stochastic dominance constrained programs
cites work: Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations
cites work: Vector-valued coherent risk measures
cites work: An interactive approach to stochastic programming-based portfolio optimization
cites work: Cut generation for optimization problems with multivariate risk constraints
cites work: Ordered Families of Distributions
cites work: Stochastic Dominance and Expected Utility: Survey and Analysis
cites work: On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other
cites work: Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
cites work: Comparison methods for stochastic models and risks
cites work: Risk-averse two-stage stochastic programming with an application to disaster management
cites work: Optimization with Multivariate Conditional Value-at-Risk Constraints
cites work: Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
cites work: On consistency of stochastic dominance and mean-semideviation models
cites work: Q3528030
cites work: Q4301147
cites work: A hierarchy of relaxations and convex hull characterizations for mixed- integer zero-one programming problems
cites work: Exploiting special structures in constructing a hierarchy of relaxations for \(0-1\) mixed integer problems
cites work: Q3815146
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
DOI: 10.1007/S10479-017-2526-Z
description: scientific article; zbMATH DE number 6839490