Robust two-stage stochastic linear optimization with risk aversion.
Ai-Fan LingJie SunNaihua XiuXiaoguang YangPublished in: Eur. J. Oper. Res. (2017)
Keyphrases
- risk aversion
- risk averse
- stochastic optimization
- utility function
- stochastic programming
- risk neutral
- robust optimization
- expected utility
- optimization algorithm
- decision makers
- mathematical programming
- linear program
- decision theory
- lot sizing
- integer programming
- multistage
- linear programming
- artificial intelligence