Postoptimality for mean-risk stochastic mixed-integer programs and its application
type: Item
instance of: scholarly article
title: Postoptimality for mean-risk stochastic mixed-integer programs and its application
zbMATH Open document ID: 1286.90100
author: Zhiping Chen
author: Feng Zhang
author: Li Yang
published in: Mathematical Methods of Operations Research
publication date: 2013-02-20T00:00:00Z
review text: The mean-risk stochastic mixed-integer programming problem is considered where the recourse cost vector, the technology matrix, and the right-hand side vector in the second-stage problem are all random. The contamination technique is adopted for the postoptimality analysis. The continuity and differentiability of the optimal value function with respect to the parameter in the contaminated distribution is proved. The obtained results are applied to investigate the postoptimality of a stochastic mixed-integer programming problem with risk objective where the objective nonlinearly depends on the probability distribution.
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C11
zbMATH DE Number: 6137579
zbMATH Keywords: stochastic programming
zbMATH Keywords: mixed-integer programming
zbMATH Keywords: postoptimality
zbMATH Keywords: contamination technique
reviewed by: Antanas Žilinskas
MaRDI profile type: Publication
full work available at URL: s00186-011-0373-2
OpenAlex ID: W2009968411
cites work: Convexity and decomposition of mean-risk stochastic programs
cites work: Q3968042
cites work: Q5560061
cites work: Q4197800
cites work: Stability in stochastic programming with recourse. Contaminated distributions
cites work: Stability and sensitivity-analysis for stochastic programming
cites work: Postoptimality for multistage stochastic linear programs
cites work: Scenario-based stochastic programs: Resistance with respect to sample
cites work: Stress testing for VaR and CVaR
cites work: Deviation measures in linear two-stage stochastic programming
cites work: Higher moment coherent risk measures
cites work: A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems
cites work: On deviation measures in stochastic integer programming
cites work: On consistency of stochastic dominance and mean-semideviation models
cites work: Quantitative stability of fully random mixed-integer two-stage stochastic programs
cites work: On structure and stability in stochastic programs with random technology matrix and complete integer recourse
cites work: Stochastic programming with integer variables
cites work: Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
cites work: Conditional value-at-risk in stochastic programs with mixed-integer recourse
DOI: 10.1007/S00186-011-0373-2
description: scientific article; zbMATH DE number 6137579