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ORL
2008

Polymatroids and mean-risk minimization in discrete optimization

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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.
Alper Atamtürk, Vishnu Narayanan
Added 14 Dec 2010
Updated 14 Dec 2010
Type Journal
Year 2008
Where ORL
Authors Alper Atamtürk, Vishnu Narayanan
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