Two-stage optimization problems with stochastic-order constraints

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Abstract

Two regularized decomposition methods for two-stage risk-averse stochastic optimization problems with a stochastic-order constraints are proposed. We employ the increasing convex order to shape the distribution of the recourse function at the optimal solution. The numerical methods construct two types of successive risk-neutral approximations of the two-stage problems and include regularization. The risk-neutral approximations are based on conditional expectations, the expected excess function associated with the recourse function and with the benchmark, and the corresponding integrated quantile functions.Aregularization is applied to the approximate risk-neutral problems.

Original languageEnglish
Title of host publicationSafety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
Pages2573-2578
Number of pages6
StatePublished - 2013
Event11th International Conference on Structural Safety and Reliability, ICOSSAR 2013 - New York, NY, United States
Duration: 16 Jun 201320 Jun 2013

Publication series

NameSafety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013

Conference

Conference11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
Country/TerritoryUnited States
CityNew York, NY
Period16/06/1320/06/13

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