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dc.contributor.advisorİyigün, Özlem Çavuşen_US
dc.contributor.authorMahmutoğulları, Ali İrfanen_US
dc.date.accessioned2019-01-31T12:36:58Z
dc.date.available2019-01-31T12:36:58Z
dc.date.copyright2019-01
dc.date.issued2019-01-29
dc.date.submitted2019-01-29
dc.identifier.urihttp://hdl.handle.net/11693/48612
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionThesis (Ph.D.): Bilkent University, Department of Industrial Engineering, İhsan Doğramacı Bilkent University, 2019.en_US
dc.descriptionIncludes bibliographical references (leaves 134-142).en_US
dc.description.abstractRisk-averse multi-stage mixed-integer stochastic programming problems form a class of extremely challenging problems since the problem size grows exponentially with the number of stages, they are non-convex due to integrality restrictions, and their objective functions are nonlinear in general. In this thesis, we first focus on such problems with an objective of dynamic mean conditional value-at-risk. We propose a scenario tree decomposition approach to obtain lower and upper bounds for their optimal values and then use these bounds in an evaluate-and-cut procedure which serves as an exact solution algorithm for such problems with integer first-stage decisions. Later, we consider a risk-averse day-ahead scheduling of electricity generation or unit commitment problem where the objective is a dynamic coherent risk measure. We consider two different versions of the problem: adaptive and non-adaptive. In the adaptive model, the commitment decisions are updated in each stage, whereas in the non-adaptive model, the commitment decisions are fixed in the first-stage. We provide theoretical and empirical analyses on the benefit of using an adaptive multi-stage stochastic model. Finally, we investigate the trade off between the adaptivity of the model and the computational effort to solve it for risk-averse multi-stage production planning problems with an objective of dynamic coherent risk measure. We also conduct computational experiments in order to verify the theoretical findings and discuss the results of these experiments.en_US
dc.description.statementofresponsibilityby Ali İrfan Mahmutoğullarıen_US
dc.format.extentxiv, 160 leaves : charts ; 30 cm.en_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectRisk-averse optimizationen_US
dc.subjectMulti-stage stochastic programmingen_US
dc.subjectMixed-integer programmingen_US
dc.subjectDynamic coherent risk measuresen_US
dc.titleRisk-averse multi-stage mixed-integer stochastic programming problemsen_US
dc.title.alternativeRiskten kaçınan çok aşamalı karma tam sayılı rassal programlama problemlerien_US
dc.typeThesisen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.publisherBilkent Universityen_US
dc.description.degreePh.D.en_US
dc.identifier.itemidB159657


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