The Library
Models for minimax stochastic linear optimization problems with risk aversion
Tools
Bertsimas, Dimitris, Doan, Xuan Vinh, Natarajan, K. and Teo, C. -P. (2010) Models for minimax stochastic linear optimization problems with risk aversion. Mathematics of Operations Research, 35 (3). pp. 580-602. doi:10.1287/moor.1100.0445 ISSN 0364-765X.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1287/moor.1100.0445
Abstract
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 stochastic problem with random objective, we provide a tight SDP formulation. The problem with random right-hand side is NP-hard in general. In a special case, the problem can be solved in polynomial time. Explicit constructions of the worst-case distributions are provided. Applications in a production-transportation problem and a single facility minimax distance problem are provided to demonstrate our approach. In our experiments, the performance of minimax solutions is close to that of data-driven solutions under the multivariate normal distribution and better under extremal distributions. The minimax solutions thus guarantee to hedge against these worst possible distributions and provide a natural distribution to stress test stochastic optimization problems under distributional ambiguity.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management Q Science > QA Mathematics |
||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
||||
Journal or Publication Title: | Mathematics of Operations Research | ||||
Publisher: | Informs | ||||
ISSN: | 0364-765X | ||||
Official Date: | August 2010 | ||||
Dates: |
|
||||
Volume: | 35 | ||||
Number: | 3 | ||||
Page Range: | pp. 580-602 | ||||
DOI: | 10.1287/moor.1100.0445 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |