Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse.
Rüdiger SchultzStephan TiedemannPublished in: SIAM J. Optim. (2003)
Keyphrases
- mixed integer
- risk aversion
- linear program
- risk averse
- stochastic programming
- utility function
- expected utility
- linear programming
- lot sizing
- probability distribution
- multistage
- feasible solution
- convex hull
- optimal solution
- belief networks
- continuous variables
- dynamic programming
- exchange rate
- decision makers
- np hard
- decision theoretic
- decision theory
- random variables
- robust optimization
- evolutionary algorithm