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Stochastic Dominance Constraints induced by Mixed-Integer Linear Recourse

Abstract

As described in Section 1.1.1, solving a two-stage stochastic optimization problem corresponds to the selection of a random variable. Applying a traditional meanrisk approach to this problem, requires to select the random variable with respect to statistical parameters reflecting mean and/or risk, like the expectation, the random variable’s excess over some preselected ruin level, or the variable’s quantiles. In all cases, a “best” random variable is chosen among all possible random variables. Only the definition of “best” distinguishes the different mean-risk formulations.

Keywords

Lagrangian Relaxation Stochastic Dominance Order Dominance Stochastic Optimization Problem Deterministic Equivalent 
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

© Vieweg+Teubner | GWV Fachverlage GmbH, Wiesbaden 2008

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