Show simple item record

dc.contributor.authorMahmutoğulları, Ali İrfanen_US
dc.contributor.authorÇavuş, Özlemen_US
dc.contributor.authorAktürk, M. Selimen_US
dc.date.accessioned2020-02-03T11:54:19Z
dc.date.available2020-02-03T11:54:19Z
dc.date.issued2019
dc.identifier.issn0254-5330
dc.identifier.urihttp://hdl.handle.net/11693/52997
dc.descriptionIn pressen_US
dc.description.abstractRisk-averse mixed-integer multi-stage stochastic programming problems are challenging, large scale and non-convex optimization problems. In this study, we propose an exact solution algorithm for a type of these problems with an objective of dynamic mean-CVaR risk measure and binary first stage decision variables. The proposed algorithm is based on an evaluate-and-cut procedure and uses lower bounds obtained from a scenario tree decomposition method called as group subproblem approach. We also show that, under the assumption that the first stage integer variables are bounded, our algorithm solves problems with mixed-integer variables in all stages. Computational experiments on risk-averse multi-stage stochastic server location and generation expansion problems reveal that the proposed algorithm is able to solve problem instances with more than one million binary variables within a reasonable time under a modest computational setting.en_US
dc.language.isoEnglishen_US
dc.source.titleAnnals of Operations Researchen_US
dc.relation.isversionofhttps://dx.doi.org/10.1007/s10479-019-03142-0en_US
dc.subjectMixed-integer stochastic programmingen_US
dc.subjectRisk-averse multi-stage stochastic optimizationen_US
dc.subjectDynamic mean-CVaRen_US
dc.subjectGroup subproblemen_US
dc.titleAn exact solution approach for risk-averse mixed-integer multi-stage stochastic programming problemsen_US
dc.typeArticleen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.identifier.doi10.1007/s10479-019-03142-0en_US
dc.publisherSpringeren_US
dc.contributor.bilkentauthorMahmutoğulları, Ali İrfan
dc.contributor.bilkentauthorÇavuş, Özlem
dc.contributor.bilkentauthorAktürk, M. Selim


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record