Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic

In this paper, we present a multistage time consistent Expected Conditional Risk Measure for minimizing a linear combination of the expected mean and the expected variance, so-called Expected Mean-Variance. The model is formulated as a multistage stochastic mixed-integer quadratic programming proble...

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Vydáno v:	Annals of operations research Ročník 280; číslo 1-2; s. 151 - 187
Hlavní autoři:	Aldasoro, Unai, Merino, María, Pérez, Gloria
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.09.2019 Springer Springer Nature B.V
Témata:	Business and Management Combinatorics Cost analysis Mathematical optimization Mathematical research Multistage Operations research Operations Research/Decision Theory Optimization Original Research Production planning Quadratic functions Quadratic programming Risk analysis Stochastic processes Studies Theory of Computation Variance Spain 90C20 Time consistent risk aversion McCormick relaxation Branch-and-Fix Coordination Multistage stochastic optimization Quadratic mixed 0–1 programming Matheuristic algorithms Production planning 90C15 90C59 Expected Conditional Risk Measures
ISSN:	0254-5330, 1572-9338
On-line přístup:	Získat plný text
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