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• W2029881990 abstract "We consider linear two-stage stochastic programs with mixed-integer recourse. Instead of basing the selection of an optimal first-stage solution on expected costs alone, we include into the objective a risk term reflecting the probability that a preselected cost threshold is exceeded. After we have put the resulting mean-risk model into perspective with stochastic dominance, we study further structural properties of the model and derive some basic stability results. In the algorithmic part of the paper, we propose a scenario decomposition method and report initial computational experience." @default.
• W2029881990 created "2016-06-24" @default.
• W2029881990 creator A5021741090 @default.
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• W2029881990 date "2003-01-01" @default.
• W2029881990 modified "2023-09-24" @default.
• W2029881990 title "Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse" @default.
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• W2029881990 doi "https://doi.org/10.1137/s1052623402410855" @default.
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