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dc.contributor.authorAranburu Laka, Larraitz
dc.contributor.authorEscudero Bueno, Laureano F.
dc.contributor.authorGarín Martín, María Araceli ORCID
dc.contributor.authorMerino Maestre, María ORCID
dc.contributor.authorPérez Sainz de Rozas, Gloria
dc.description.abstractWe present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree that can be a symmetric or a nonsymmetric one. The stochastic model is converted in a mixed 0-1 Deterministic Equivalent Model in compact representation. Due to the difficulty of the problem, the solution offered by the stochastic model has been traditionally obtained by optimizing the objective function expected value (i.e., mean) over the scenarios, usually, along a time horizon. This approach (so named risk neutral) has the inconvenience of providing a solution that ignores the variance of the objective value of the scenarios and, so, the occurrence of scenarios with an objective value below the expected one. Alternatively, we present several approaches for risk averse management, namely, a scenario immunization strategy, the optimization of the well known Value-at-Risk (VaR) and several variants of the Conditional Value-at-Risk strategies, the optimization of the expected mean minus the weighted probability of having a "bad" scenario to occur for the given solution provided by the model, the optimization of the objective function expected value subject to stochastic dominance constraints (SDC) for a set of profiles given by the pairs of threshold objective values and either bounds on the probability of not reaching the thresholds or the expected shortfall over them, and the optimization of a mixture of the VaR and SDC
dc.subjectmultistage stochastic mixed 0-1 optimizationes
dc.subjectscenario analysises
dc.subjectmixed 0-1 Deterministic Equivalent Modeles
dc.subjectrisk aversion measureses
dc.subjectscenario immunizationes
dc.subjectstochastic dominance constraintses
dc.titleRisk management for mathematical optimization under uncertaintyes
dc.rights.holderAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.departamentoesEconomía aplicada III (Econometría y Estadística)es_ES
dc.departamentoeuEkonomia aplikatua III (ekonometria eta estatistika)es_ES

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Attribution-NonCommercial-NoDerivatives 4.0 International
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 International