New algorithmic framework for conditional value at risk: Application to stochastic fixed-charge transportation
This paper introduces a new algorithmic scheme for two-stage stochastic mixed-integer programming assuming a risk averse decision maker. The focus is the minimization of the conditional value at risk for a hard combinatorial optimization problem. Some properties of a mixed-integer non-linear program...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2019 |
| País: | España |
| Institución: | Universidad de Sevilla (US) |
| Repositorio: | idUS. Depósito de Investigación de la Universidad de Sevilla |
| OAI Identifier: | oai:idus.us.es:11441/154620 |
| Acceso en línea: | https://hdl.handle.net/11441/154620 https://doi.org/10.1016/j.ejor.2019.02.010 |
| Access Level: | acceso abierto |
| Palabra clave: | Transportation Stochastic mixed-integer programming CVaR |
| Sumario: | This paper introduces a new algorithmic scheme for two-stage stochastic mixed-integer programming assuming a risk averse decision maker. The focus is the minimization of the conditional value at risk for a hard combinatorial optimization problem. Some properties of a mixed-integer non-linear programming formulation for conditional value at risk are studied as well as their algorithmic implications. This yields to a procedure for obtaining lower and upper bounds on the optimal value of the problem that may lead to an optimal solution. The new developments are applied to a fixed-charge transportation problem with stochastic demand, and they are computationally tested. The corresponding results are thoroughly presented and discussed. |
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