Decision making with dominance constraints in two-stage stochastic integer programming
Two-stage stochastic programming models are considered as attractive tools for making optimal decisions under uncertainty. Traditionally, optimality is formalized by applying statistical parameters such as the expectation or the conditional value at risk to the distributions of objective values. Uwe...
Guardat en:
| Autor principal: | |
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| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Wiesbaden :
Vieweg+Teubner Verlag
[20..].
Cham : Springer Nature |
| Edició: | 1st ed. 2009. |
| Col·lecció: | Stochastic Programming
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| Matèries: | |
| Accés en línia: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'apès consultation du 27 janvier 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming, Texte imprimé, 9783834808431 |
| Sumari: | Two-stage stochastic programming models are considered as attractive tools for making optimal decisions under uncertainty. Traditionally, optimality is formalized by applying statistical parameters such as the expectation or the conditional value at risk to the distributions of objective values. Uwe Gotzes analyzes an approach to account for risk aversion in two-stage models based upon partial orders on the set of real random variables. These stochastic orders enable the incorporation of the characteristics of whole distributions into the decision process. The profit or cost distributions must pass a benchmark test with a given acceptable distribution. Thus, additional objectives can be optimized. For this new class of stochastic optimization problems, results on structure and stability are proven and a tailored algorithm to tackle large problem instances is developed. The implications of the modelling background and numerical results from the application of the proposed algorithm are demonstrated with case studies from energy trading. |
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| Descripció de l’ítem: | Description d'apès consultation du 27 janvier 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783834899910 |
| ISSN: | 2945-8781 |
| Accés: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |