Stochastic linear programming with a distortion risk constraint
نویسندگان
چکیده
منابع مشابه
Stochastic linear programming with a distortion risk constraint
Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the possible violation of a restriction. Each risk constraint induces an uncertainty set of coefficients, which is shown to be a weighted-mean trimmed region. Given an external sample of the coefficients, an uncertainty set is a convex polytope that can be exactly ...
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ژورنال
عنوان ژورنال: OR Spectrum
سال: 2014
ISSN: 0171-6468,1436-6304
DOI: 10.1007/s00291-014-0372-9