On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
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- 作者：Laureano F. Escuderoa ; laureano.escudero@urjc.es" class="auth_mail" title="E-mail the corresponding author ; Marí ; a Araceli Garí ; n ; b ; mariaaraceli.garin@ehu.es" class="auth_mail" title="E-mail the corresponding author ; Marí ; a Merinoc ; maria.merino@ehu.es" class="auth_mail" title="E-mail the corresponding author ; Gloria Pé ; rezc ; gloria.perez@ehu.es" class="auth_mail" title="E-mail the corresponding author
- 关键词：Multistage stochastic mixed 0-1 Optimization ; Scenario clustering ; Mixed 0-1 deterministic equivalent model ; Risk averse measures ; Stochastic dominance constraints
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：16 February 2016
- 年：2016
- 卷：249
- 期：1
- 页码：164-176
- 全文大小：631 K
文摘
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Extension to the multistage case of two risk measures defined for two-stage problems.
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Time stochastic dominance (TSD) policy. A new risk averse strategy.
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Extension of our Branch-and-Fix Coordination (BFC) algorithm to deal with TSD policy.
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Computational comparison between risk neutral approach and some risk averse strategies.
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Broad analysis of the performance of BFC-TSD algorithm versus plain use of CPLEX.