Risk Aversion in Two-Stage Stochastic Integer Programming

  • Rüdiger Schultz
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 150)


Some recent developments in the area of risk aversion in stochastic integer programming are surveyed. After a discussion of modeling guidelines and resulting mean–risk stochastic integer programs emphasis is placed on structural properties of these optimization problems and on algorithms for their solution. Bibliographical notes conclude the Chapter.


Risk Aversion Risk Model Stochastic Program Lagrangian Relaxation Stochastic Dominance 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of Duisburg-Essen, Campus DuisburgDuisburgGermany

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