Stochastic Programming

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

Authors: Gotzes, Uwe

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About this book

Two-stage stochastic programming models are considered as attractive tools for making optimal decisions under uncertainty. Traditionally, optimality is formalized by applying statistical parameters such as the expectation or the conditional value at risk to the distributions of objective values.

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. These stochastic orders enable the incorporation of the characteristics of whole distributions into the decision process. The profit or cost distributions must pass a benchmark test with a given acceptable distribution. Thus, additional objectives can be optimized. For this new class of stochastic optimization problems, results on structure and stability are proven and a tailored algorithm to tackle large problem instances is developed. The implications of the modelling background and numerical results from the application of the proposed algorithm are demonstrated with case studies from energy trading.

About the authors

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.

Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-8348-9991-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $129.00
price for USA
  • ISBN 978-3-8348-0843-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming
Authors
Series Title
Stochastic Programming
Copyright
2009
Publisher
Vieweg+Teubner Verlag
Copyright Holder
Vieweg+Teubner Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden
eBook ISBN
978-3-8348-9991-0
DOI
10.1007/978-3-8348-9991-0
Softcover ISBN
978-3-8348-0843-1
Edition Number
1
Number of Pages
104
Number of Illustrations
30 b/w illustrations
Topics