Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

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 stoc...

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Bibliographic Details
Main Authors: Bertsimas, Dimitris J. (Contributor), Doan, Xuan Vinh (Contributor), Natarajan, Karthik (Author), Teo, Chung-Piaw (Author)
Other Authors: Massachusetts Institute of Technology. Operations Research Center (Contributor), Sloan School of Management (Contributor)
Format: Article
Language:English
Published: Institute for Operations Research and the Management Sciences, 2012-04-04T15:25:39Z.
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