-

 

 

 




Optimization Online





 

On a class of minimax stochastic programs

Alexander Shapiro (ashapiro***at***isye.gatech.edu)
Shabbir Ahmed (sahmed***at***isye.gatech.edu)

Abstract: For a particular class of minimax stochastic programming models, we show that the problem can be equivalently reformulated into a standard stochastic programming problem. This permits the direct use of standard decomposition and sampling methods developed for stochastic programming. We also show that this class of minimax stochastic programs subsumes a large family of mean-risk stochastic programs where risk is measured in terms of deviations from a quantile.

Keywords: worst case distribution, problem of moments, Lagrangian duality, mean risk stochastic programs, deviation from a quantile

Category 1: Stochastic Programming

Category 2: Robust Optimization

Category 3: Convex and Nonsmooth Optimization

Citation: Technical report, School of Industrial & Systems Engineering, Georgia Institute of Technology

Download: [PDF]

Entry Submitted: 08/12/2003
Entry Accepted: 08/20/2003
Entry Last Modified: 08/12/2003

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society