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Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
16 references·8 citing·30 second hop
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2011Introduction to Stochastic Programming6,469 cited
  • 2010Stochastic Programming2,228 cited
  • 1995Robust Optimization of Large-Scale Systems1,959 cited
  • 1995Stochastic Programming1,539 cited
  • 1997Introduction to Stochastic Programming959 cited
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  • 1999Dual decomposition in stochastic integer programming539 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2002Quantitative Stability in Stochastic Programming: The Method of Probability Metrics129 cited
  • 1997Stochastic Programming Problems with Probability and Quantile Functions121 cited
  • 2004On robust optimization of two-stage systems111 cited
  • 1991Stability analysis for stochastic programs100 cited
  • 2003Frontiers of Stochastically Nondominated Portfolios92 cited
  • 1995On structure and stability in stochastic programs with random technology matrix and complete integer recourse

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86 cited

Cited by

  • 2010Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition79 cited
  • 2008Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse74 cited
  • 2012Risk-averse two-stage stochastic programs in furniture plants41 cited
  • 2015On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs34 cited
  • 2017Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization32 cited
  • 2004On the product selection and plant dimensioning problem under uncertainty32 cited
  • 2017On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty30 cited
  • 2011A branch-and-cluster coordination scheme for selecting prison facility sites under uncertainty18 cited