A chernoff bound approximation for risk-averse integer programming.
Randy CogillZhou ZhouPublished in: ACC (2011)
Keyphrases
- integer programming
- risk averse
- risk neutral
- np hard
- utility function
- decision makers
- risk aversion
- constraint programming
- stochastic programming
- approximation algorithms
- lower bound
- linear programming
- portfolio management
- production planning
- network flow
- worst case
- linear programming relaxation
- column generation
- upper bound
- integer program
- special case
- constraint satisfaction problems