Stochastic combinatorial optimization with controllable risk aversion level

Mathematics of Operations Research

Volumn 34, Issue 3, 2009, Pages 522-537

  So, Anthony Man Cho ^a   Zhang, Jiawei ^b   Ye, Yinyu ^c  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b NEW YORK UNIVERSITY   (United States)

^c Stanford University   (United States)

Author keywords

Approximation algorithm; Combinatorial optimization; Risk measure; Sample average approximation (SAA); Stochastic optimization

Indexed keywords

2-STAGE STOCHASTIC PROGRAM; BLACK BOXES; CASE COST; DEGREE OF ROBUSTNESS; EXPECTED COSTS; FUNCTIONALS; MATHEMATICAL FINANCE; ONE PARAMETER FAMILY; RISK AVERSION; RISK MEASURE; ROUNDING PROCEDURES; SAMPLE AVERAGE APPROXIMATION; SAMPLE AVERAGE APPROXIMATION (SAA); STANDARD ASSUMPTIONS; STOCHASTIC COMBINATORIAL OPTIMIZATION; STOCHASTIC OPTIMIZATION; UNDERLYING DISTRIBUTION;

COMBINATORIAL OPTIMIZATION; MATHEMATICAL PROGRAMMING; RISK ASSESSMENT; RISK PERCEPTION;

APPROXIMATION ALGORITHMS;

EID: 70349280580     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1090.0390     Document Type: Article

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