Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR.
Ali Irfan MahmutogullariÖzlem ÇavusM. Selim AktürkPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- risk averse
- mixed integer
- multistage
- stochastic programming
- lot sizing
- stochastic programming problems
- risk neutral
- risk measures
- linear program
- mixed integer programming
- upper bound
- dynamic programming
- lower bound
- production system
- convex hull
- feasible solution
- decision makers
- production planning
- planning horizon
- worst case
- linear programming
- utility function
- genetic algorithm
- continuous variables
- expected utility
- objective function
- optimal solution
- simulated annealing
- evolutionary algorithm
- special case
- optimal policy
- optimization problems