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.
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© 2008 Vieweg+Teubner | GWV Fachverlage GmbH, Wiesbaden
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(2008). Stochastic Dominance Constraints induced by Mixed-Integer Linear Recourse. In: Risk Management in Stochastic Integer Programming. Vieweg+Teubner. https://doi.org/10.1007/978-3-8348-9536-3_3
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DOI: https://doi.org/10.1007/978-3-8348-9536-3_3
Publisher Name: Vieweg+Teubner
Print ISBN: 978-3-8348-0547-8
Online ISBN: 978-3-8348-9536-3
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