Robust two-stage stochastic linear optimization with risk aversion
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- 作者：Aifan Ling ; a ; aifanling@jxufe.edu.com" class="auth_mail" title="E-mail the corresponding author ; aifanling@jxufe.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Jie Sunb ; sun.curtin@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Naihua Xiuc ; nhxiu@center.njtu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Xiaoguang Yangd ; xgyang@iss.ac.cn" class="auth_mail" title="E-mail the corresponding author
- 关键词：Uncertainty modeling ; Stochastic programming ; Robust optimization ; Conditional value-at-risk ; Semidefinite programming
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：1 January 2017
- 年：2017
- 卷：256
- 期：1
- 页码：215-229
- 全文大小：829 K
文摘
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This paper studies a two-stage stochastic programming model with the mean-CVaR objective function in the second stage.
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The model only requires certain knowledge on moments of the underlying random variables.
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A class of easy problems is identified.
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A scheme to handle the hard problem is proposed.
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Numerical results on two-stage portfolio optimization material order and other two problems are presented.