An SDP approach for multiperiod mixed 0–1 linear programming models with stochastic dominance constraints for risk management

In this paper we consider multiperiod mixed 0–1 linear programming models under uncertainty. We propose a risk averse strategy using stochastic dominance constraints (SDC) induced by mixed-integer linear recourse as the risk measure. The SDC strategy extends the existing literature to the multistage...

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Vydáno v:	Computers & operations research Ročník 58; s. 32 - 40
Hlavní autoři:	Escudero, Laureano F., Monge, Juan Francisco, Romero Morales, Dolores
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Elsevier Ltd 01.06.2015 Pergamon Press Inc
Témata:	Accuracy Comparative analysis Cross-scenario constraints Dominance Generalized linear models Linear programming Mathematical models Mathematical programming Multiperiod stochastic mixed 0–1 linear programming Risk Risk assessment Risk averse Stochastic dominance constraints Stochastic dynamic programming Stochastic models Stochasticity Strategy Studies Supply chain management Uncertainty Multiperiod stochastic mixed 0–1 linear programming Stochastic dynamic programming Cross-scenario constraints Stochastic dominance constraints Risk averse
ISSN:	0305-0548, 1873-765X, 0305-0548
On-line přístup:	Získat plný text
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