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Robust two-stage stochastic linear optimization with risk aversion

文献类型：期刊论文

作者Ling, Aifan1; Sun, Jie2; Xiu, Naihua3; Yang, Xiaoguang4
刊名EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
出版日期2017
卷号256期号:1页码:215-229
关键词Uncertainty modeling Stochastic programming Robust optimization Conditional value-at-risk Semidefinite programming
ISSN号0377-2217
DOI10.1016/j.ejor.2016.06.017
英文摘要We study a two-stage stochastic linear optimization problem where the recourse function is risk-averse rather than risk neutral. In particular, we consider the mean-conditional value-at-risk objective function in the second stage. The model is robust in the sense that the distribution of the underlying random variable is assumed to belong to a certain family of distributions rather than to be exactly known. We start from analyzing a simple case where uncertainty arises only in the objective function, and then explore the general case where uncertainty also arises in the constraints. We show that the former problem is equivalent to a semidefinite program and the latter problem is generally NP-hard. Applications to two stage portfolio optimization, material order problems, stochastic production-transportation problem and single facility minimax distance problem are considered. Numerical results show that the proposed robust risk-averse two-stage stochastic programming model can effectively control the risk with solutions of acceptable good quality. (C) 2016 Elsevier B.V. All rights reserved.
资助项目National Natural Science Foundation of China[71371090] ; Science Foundation of Ministry of Education of China[13YJCZH160] ; Candidate Foundations of Distinguished Young Scientists in Jiangxi Province[20153BCB23006] ; key program of Jiangxi Province Education Department[GJJ150440]
WOS研究方向Business & Economics ; Operations Research & Management Science
语种英语
WOS记录号WOS:000384854500021
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/23939]  
专题系统科学研究所
通讯作者Ling, Aifan
作者单位1.Jiangxi Univ Finance & Econ, Sch Finance, Nanchang 330013, Peoples R China
2.Curtin Univ, Dept Math & Stat, Perth, WA, Australia
3.Beijing Jiaotong Univ, Sch Sci, Beijing 100044, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Ling, Aifan,Sun, Jie,Xiu, Naihua,et al. Robust two-stage stochastic linear optimization with risk aversion[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2017,256(1):215-229.
APA Ling, Aifan,Sun, Jie,Xiu, Naihua,&Yang, Xiaoguang.(2017).Robust two-stage stochastic linear optimization with risk aversion.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,256(1),215-229.
MLA Ling, Aifan,et al."Robust two-stage stochastic linear optimization with risk aversion".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 256.1(2017):215-229.

入库方式： OAI收割

来源：数学与系统科学研究院

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