On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs

•Extension to the multistage case of two risk measures defined for two-stage problems.•Time stochastic dominance (TSD) policy. A new risk averse strategy.•Extension of our Branch-and-Fix Coordination (BFC) algorithm to deal with TSD policy.•Computational comparison between risk neutral approach and...

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Bibliographic Details
Published in:	European journal of operational research Vol. 249; no. 1; pp. 164 - 176
Main Authors:	Escudero, Laureano F., Garín, María Araceli, Merino, María, Pérez, Gloria
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 16.02.2016 Elsevier Sequoia S.A
Subjects:	Comparative analysis Integer programming Mathematical problems Mixed 0-1 deterministic equivalent model Multistage stochastic mixed 0-1 Optimization Optimization algorithms Risk averse measures Risk aversion Scenario clustering Stochastic dominance constraints Stochastic models Studies Risk averse measures Stochastic dominance constraints Scenario clustering Mixed 0-1 deterministic equivalent model Multistage stochastic mixed 0-1 Optimization
ISSN:	0377-2217, 1872-6860
Online Access:	Get full text
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