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Table of contents (6 chapters)
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Front Matter
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Back Matter
About this book
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. These stochastic orders enable the incorporation of the characteristics of whole distributions into the decision process. The profit or cost distributions must pass a benchmark test with a given acceptable distribution. Thus, additional objectives can be optimized. For this new class of stochastic optimization problems, results on structure and stability are proven and a tailored algorithm to tackle large problem instances is developed. The implications of the modelling background and numerical results from the application of the proposed algorithm are demonstrated with case studies from energy trading.
About the author
Bibliographic Information
Book Title: Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming
Authors: Uwe Gotzes
Series Title: Stochastic Programming
DOI: https://doi.org/10.1007/978-3-8348-9991-0
Publisher: Vieweg+Teubner Verlag Wiesbaden
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Vieweg+Teubner Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2009
Softcover ISBN: 978-3-8348-0843-1
eBook ISBN: 978-3-8348-9991-0
Series ISSN: 2945-8773
Series E-ISSN: 2945-8781
Edition Number: 1
Number of Pages: 104
Number of Illustrations: 30 b/w illustrations
Topics: Software Engineering, Probability Theory and Stochastic Processes, Mathematics, general