Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

We propose a semidefinite optimization (SDP) model for the class of minimax two-stage stochastic linear optimization problems with risk aversion. The distribution of second-stage random variables belongs to a set of multivariate distributions with known first and second moments. For the minimax stoc...

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Bibliographic Details
Main Authors: Doan, Xuan Vinh, Natarajan, Karthik, Teo, Chung-Piaw, Bertsimas, Dimitris J
Other Authors: Massachusetts Institute of Technology. Operations Research Center
Format: Article
Language:en_US
Published: Institute for Operations Research and the Management Sciences 2012
Online Access:http://hdl.handle.net/1721.1/69922
https://orcid.org/0000-0002-1985-1003

Internet

http://hdl.handle.net/1721.1/69922
https://orcid.org/0000-0002-1985-1003

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