Polymatroids and mean-risk minimization in discrete optimization

Polymatroids and mean-risk minimization in discrete optimization

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Article ID: iaor20102882
Volume: 36
Issue: 5
Start Page Number: 618
End Page Number: 622
Publication Date: Sep 2008
Journal: Operations Research Letters
Authors: ,
Abstract:

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.

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