| Article ID: | iaor2006396 |
| Country: | Netherlands |
| Volume: | 33 |
| Issue: | 5 |
| Start Page Number: | 441 |
| End Page Number: | 449 |
| Publication Date: | Sep 2005 |
| Journal: | Operations Research Letters |
| Authors: | Schultz Rdiger, Mrkert Andreas |
| Keywords: | programming: integer |
We propose extensions of traditional expectation-based stochastic integer programs to mean-risk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We derive structural properties of the resulting stochastic programs and present first algorithmic ideas to achieve problem decomposition.