Deviation Measures in Linear Two-Stage Stochastic Programming

Trine Kristoffersen ()

Mathematical Methods of Operations Research, 2005, vol. 62, issue 2, 255-274

Abstract: We consider a linear two-stage stochastic program. Whereas optimization in the traditional setting is based solely on expectation, we include risk measures reflecting dispersions of the random objective. Presenting the mean-risk models, we aim to extend existing results for the expectation-based model. In particular, we discuss structural properties such as continuity, differentiability and convexity and address stability issues. Furthermore, we propose algorithmic treatment with a slight variation of the L-shaped method Copyright Springer-Verlag 2005

Keywords: Linear two-stage stochastic programmming; Mean-risk models (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00186-005-0006-8

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