Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming

2009
ISBN: 978-3-8348-0843-1
Verlag: Vieweg+Teubner Verlag

Buch, Englisch, 104 Seiten, Format (B × H): 148 mm x 210 mm, Gewicht: 163 g

Reihe: Stochastic Programming

Uwe Gotzes analyzes an approach to account for risk aversion in two-stage models based upon partial orders on the set of real random variables. He illustrates the superiority of the proposed decomposition method over standard solvers for example with numerical experiments with instances from energy investment.

Zielgruppe

Researchers and practitioners working in stochastic programming, mixed-integer linear programming, risk modelling in engineering and finance

Autoren/Hrsg.

Gotzes, Uwe

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik EDV | Informatik Programmierung | Softwareentwicklung Software Engineering
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Entscheidungstheorie, Sozialwahltheorie

Inhaltsverzeichnis

Increasing Convex Order Constraints Induced by Mixed-Integer Linear Recourse.- Competitive Risk-Averse Selling Price Determination for Electricity Retailers.- Decomposition Method.- Test Instances.- An Alternative Formulation for Optimization under Stochastic Dominance Constraints.

Über Autor(innen)

Dr. Uwe Gotzes completed his doctoral thesis at the Department of Mathematics at the University of Duisburg-Essen. He is a network planner at E.ON Gastransport.