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

Uwe Gotzes (Autor)

eBook Download: PDF

2009 | 2009
104 Seiten
Vieweg & Teubner (Verlag)
978-3-8348-9991-0 (ISBN)

Infos

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.



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.

Inhalt

Foreword 6
Acknowledgements 7
Contents 8
Introduction 9
Increasing Convex Order Constraints Induced by Mixed-Integer Linear Recourse 21
Competitive Risk-Averse Selling Price Determination for Electricity Retailers 41
Decomposition Method 57
Test Instances 69
An Alternative Formulation for Optimization under Stochastic Dominance Constraints 81
References 87
Symbol Index 98

Produkt-Details

• Erscheint lt. Verlag: 30.9.2009
• Reihe/Serie: Stochastic Programming
• Reihe/Serie: Stochastic Programming
• Zusatzinfo: 104 p. 30 illus.
• Verlagsort: Wiesbaden
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Informatik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Technik
• Schlagworte: Entscheidungsfindung • linear optimization • Modeling • partial orders • programming • real random variables • stochastic orders • two-stage models • Unsicherheit • Zufallsvariablen
• ISBN-10: 3-8348-9991-7 / 3834899917
• ISBN-13: 978-3-8348-9991-0 / 9783834899910