On deviation measures in stochastic integer programming

被引：15

作者：

Märkert, A ^{[1
]}

Schultz, R ^{[1
]}

机构：

[1] Univ Duisburg Gesamthsch, Inst Math, D-47048 Duisburg, Germany

来源：

OPERATIONS RESEARCH LETTERS | 2005年 / 33卷 / 05期

关键词：

stochastic programming; mean-risk models; mixed-integer optimization;

D O I：

10.1016/j.orl.2004.09.003

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We propose extensions of traditional expectation-based stochastic integer programs to mean-risk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We derive structural properties of the resulting stochastic programs and present first algorithmic ideas to achieve problem decomposition. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：441 / 449

页数：9

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