Article ID: | iaor20102882 |
Volume: | 36 |
Issue: | 5 |
Start Page Number: | 618 |
End Page Number: | 622 |
Publication Date: | Sep 2008 |
Journal: | Operations Research Letters |
Authors: | Atamtrk Alper, Narayanan Vishnu |
We study discrete optimization problems with a submodular mean-risk minimization objective. For 0–1 problems a linear characterization of the convex lower envelope is given. For mixed 0–1 problems we derive an exponential class of conic quadratic valid inequalities. We report computational experiments on risk-averse capital budgeting problems with uncertain returns.