Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse.
Rüdiger SchultzStephan TiedemannPublished in: Math. Program. (2006)
Keyphrases
- mixed integer
- linear program
- linear programming
- lot sizing
- multistage
- benders decomposition
- optimal solution
- integer program
- mixed integer programming
- cutting plane
- feasible solution
- facility location
- mixed integer program
- column generation
- continuous relaxation
- convex hull
- network design problem
- objective function
- continuous variables
- np hard
- quadratic program
- neural network
- extreme points
- genetic algorithm