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Probability Objectives in Stochastic Programs with Recourse

by Schultz, Ruediger

Abstract (Summary)
Traditional models in multistage stochastic programming are directed to minimizing the expected value of random optimal costs arising in a multistage, non-anticipative decision process under uncertainty. Motivated by risk aversion, we consider minimization of the probability that the random optimal costs exceed some preselected threshold value. For the two-stage case, we analyse structural properties and propose algorithms both for models with integer decisions and for those without. Extension of the modeling to the multistage situation concludes the paper.
Bibliographical Information:

Advisor:

School:Universität Duisburg-Essen, Standort Essen

School Location:Germany

Source Type:Master's Thesis

Keywords:mathematik gerhard mercator universitaet

ISBN:

Date of Publication:05/27/2002

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