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Risk Aversion in Two-Stage Stochastic Integer Programming

Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 150)

Abstract

Some recent developments in the area of risk aversion in stochastic integer programming are surveyed. After a discussion of modeling guidelines and resulting mean–risk stochastic integer programs emphasis is placed on structural properties of these optimization problems and on algorithms for their solution. Bibliographical notes conclude the Chapter.

Keywords

Risk Aversion Risk Model Stochastic Program Lagrangian Relaxation Stochastic Dominance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of Duisburg-Essen, Campus DuisburgDuisburgGermany

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