TY - GEN
T1 - Two-stage optimization problems with stochastic-order constraints
AU - Dentcheva, Darinka
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
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M3 - Conference contribution
AN - SCOPUS:84892427767
SN - 9781138000865
T3 - Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
SP - 2573
EP - 2578
BT - Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
T2 - 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013
Y2 - 16 June 2013 through 20 June 2013
ER -