Risk Aversion in Two-Stage Stochastic Integer Programming

Rüdiger Schultz ()
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Rüdiger Schultz: University of Duisburg-Essen, Campus Duisburg

Chapter Chapter 8 in Stochastic Programming, 2010, pp 165-187 from Springer

Abstract: 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 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/978-1-4419-1642-6_8

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