Robust two-stage stochastic linear optimization with risk aversion

doi:10.1016/j.ejor.2016.06.017

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	Robust two-stage stochastic linear optimization with risk aversion
	Ling, Aifan 1; Sun, Jie 2; Xiu, Naihua 3; Yang, Xiaoguang4
	2017
发表期刊	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
ISSN	0377-2217
卷号	256 期号:1 页码:215-229
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.
关键词	Uncertainty modeling Stochastic programming Robust optimization Conditional value-at-risk Semidefinite programming
DOI	10.1016/j.ejor.2016.06.017
语种	英语
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
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000384854500021
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/23940
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.