dc.creator | Fernández, Elena | es |
dc.creator | Hinojosa Bergillos, Yolanda | es |
dc.creator | Puerto Albandoz, Justo | es |
dc.creator | Saldanha da Gama, Francisco | es |
dc.date.accessioned | 2024-02-05T16:28:15Z | |
dc.date.available | 2024-02-05T16:28:15Z | |
dc.date.issued | 2019-08 | |
dc.identifier.citation | Fernández, E., Hinojosa Bergillos, Y., Puerto Albandoz, J. y Saldanha da Gama, F. (2019). New algorithmic framework for conditional value at risk: Application to stochastic fixed-charge transportation. European Journal of Operational Research, 277 (1), 215-226. https://doi.org/10.1016/j.ejor.2019.02.010. | |
dc.identifier.issn | 1872-6860 | es |
dc.identifier.uri | https://hdl.handle.net/11441/154620 | |
dc.description.abstract | This paper introduces a new algorithmic scheme for two-stage stochastic mixed-integer programming assuming a risk averse decision maker. The focus is the minimization of the conditional value at risk for a hard combinatorial optimization problem. Some properties of a mixed-integer non-linear programming formulation for conditional value at risk are studied as well as their algorithmic implications. This yields to a procedure for obtaining lower and upper bounds on the optimal value of the problem that may lead to an optimal solution. The new developments are applied to a fixed-charge transportation problem with stochastic demand, and they are computationally tested. The corresponding results are thoroughly presented and discussed. | es |
dc.description.sponsorship | Ministerio de Economía y Competitividad MTM2015-63779-R | es |
dc.description.sponsorship | Ministerio de Economía y Competitividad MTM2016-74983-C02-01 | es |
dc.description.sponsorship | Fundação para a Ciência e Tecnologia UID/MAT/04561/2013 | es |
dc.format | application/pdf | es |
dc.format.extent | 12 p. | es |
dc.language.iso | eng | es |
dc.publisher | Elsevier | es |
dc.relation.ispartof | European Journal of Operational Research, 277 (1), 215-226. | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Transportation | es |
dc.subject | Stochastic mixed-integer programming | es |
dc.subject | CVaR | es |
dc.title | New algorithmic framework for conditional value at risk: Application to stochastic fixed-charge transportation | es |
dc.type | info:eu-repo/semantics/article | es |
dc.type.version | info:eu-repo/semantics/acceptedVersion | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Economía Aplicada I | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Estadística e Investigación Operativa | es |
dc.relation.projectID | MTM2015-63779-R | es |
dc.relation.projectID | MTM2016-74983-C02-01 | es |
dc.relation.projectID | UID/MAT/04561/2013 | es |
dc.relation.publisherversion | https://doi.org/10.1016/j.ejor.2019.02.010 | es |
dc.identifier.doi | 10.1016/j.ejor.2019.02.010 | es |
dc.journaltitle | European Journal of Operational Research | es |
dc.publication.volumen | 277 | es |
dc.publication.issue | 1 | es |
dc.publication.initialPage | 215 | es |
dc.publication.endPage | 226 | es |
dc.contributor.funder | Ministerio de Economía y Competitividad (MINECO). España | es |
dc.contributor.funder | Fundação para a Ciência e Tecnologia (Portugal) | es |