4 search results - page 1 / 1 » Conditional Value-at-Risk in Stochastic Programs with Mixed-... |
MP
2006
13 years 4 months ago
2006
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
SIAMJO
2008
13 years 4 months ago
2008
We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish clo...
CCE
2008
13 years 4 months ago
2008
The problem of optimal synthesis of an integrated water system is addressed in this work, where water using processes and water treatment operations are combined into a single net...
SIAMJO
2008
13 years 4 months ago
2008
We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...