Polymatroids and mean-risk minimization in discrete optimization

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 inequalities. We report computational experiments on risk-averse capital budgeting problems with uncertain returns.

• Type: Journal
• Year: 2008
• Where: ORL
• Authors: Alper Atamtürk, Vishnu Narayanan
• Keywords: 0-1 Problems, Discrete Optimization Problems, Mixed 0-1 Problems, ORL 2008