Gotzes Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming

2009
ISBN: 978-3-8348-9991-0
Verlag: Vieweg & Teubner
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 104 Seiten, eBook

Reihe: Stochastic Programming

Uwe Gotzes analyzes an approach to account for risk aversion in two-stage models based upon partial orders on the set of real random variables. He illustrates the superiority of the proposed decomposition method over standard solvers for example with numerical experiments with instances from energy investment.



Dr. Uwe Gotzes completed his doctoral thesis at the Department of Mathematics at the University of Duisburg-Essen. He is a network planner at E.ON Gastransport.

Zielgruppe

Research

Autoren/Hrsg.

Gotzes, Uwe

Inhaltsverzeichnis

1;Foreword;6
2;Acknowledgements;7
3;Contents;8
4;Introduction;9
5;Increasing Convex Order Constraints Induced by Mixed-Integer Linear Recourse;21
6;Competitive Risk-Averse Selling Price Determination for Electricity Retailers;41
7;Decomposition Method;57
8;Test Instances;69
9;An Alternative Formulation for Optimization under Stochastic Dominance Constraints;81
10;References;87
11;Symbol Index;98

Increasing Convex Order Constraints Induced by Mixed-Integer Linear Recourse.- Competitive Risk-Averse Selling Price Determination for Electricity Retailers.- Decomposition Method.- Test Instances.- An Alternative Formulation for Optimization under Stochastic Dominance Constraints.

Über Autor(innen)

Dr. Uwe Gotzes completed his doctoral thesis at the Department of Mathematics at the University of Duisburg-Essen. He is a network planner at E.ON Gastransport.