Quadratic two-stage stochastic optimization with coherent measures of risk
| dc.contributor.author | Sun, Jie | |
| dc.contributor.author | Liao, L. | |
| dc.contributor.author | Rodrigues, B. | |
| dc.date.accessioned | 2017-04-28T13:57:46Z | |
| dc.date.available | 2017-04-28T13:57:46Z | |
| dc.date.created | 2017-04-28T09:06:07Z | |
| dc.date.issued | 2017 | |
| dc.identifier.citation | Sun, J. and Liao, L. and Rodrigues, B. 2017. Quadratic two-stage stochastic optimization with coherent measures of risk. Mathematical Programming. 168 (1-2): pp. 599-613. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/52156 | |
| dc.identifier.doi | 10.1007/s10107-017-1131-x | |
| dc.description.abstract |
A new scheme to cope with two-stage stochastic optimization problems uses a risk measure as the objective function of the recourse action, where the risk measure is defined as the worst-case expected values over a set of constrained distributions. This paper develops an approach to deal with the case where both the first and second stage objective functions are convex linear-quadratic. It is shown that under a standard set of regularity assumptions, this two-stage quadratic stochastic optimization problem with measures of risk is equivalent to a conic optimization problem that can be solved in polynomial time. | |
| dc.publisher | Springer | |
| dc.relation.sponsoredby | http://purl.org/au-research/grants/arc/DP160102819 | |
| dc.title | Quadratic two-stage stochastic optimization with coherent measures of risk | |
| dc.type | Journal Article | |
| dcterms.source.startPage | 599 | |
| dcterms.source.endPage | 613 | |
| dcterms.source.issn | 0025-5610 | |
| dcterms.source.title | Mathematical Programming | |
| curtin.note |
The final publication is available at Springer via http://dx.doi.org/10.1007/s10107-017-1131-x | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |