Abstract
<p style='text-indent:20px;'>Two-stage risk-neutral stochastic optimization problem has been widely studied recently. The goals of our research are to construct a two-stage distributionally robust optimization model with risk aversion and to extend it to multi-stage case. We use a coherent risk measure, Conditional Value-at-Risk, to describe risk. Due to the computational complexity of the nonlinear objective function of the proposed model, two decomposition methods based on cutting planes algorithm are proposed to solve the two-stage and multi-stage distributional robust optimization problems, respectively. To verify the validity of the two models, we give two applications on multi-product assembly problem and portfolio selection problem, respectively. Compared with the risk-neutral stochastic optimization models, the proposed models are more robust.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of Industrial & Management Optimization
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
