dc.contributor.author | Hellemo, Lars | |
dc.contributor.author | Barton, Paul I. | |
dc.contributor.author | Tomasgard, Asgeir | |
dc.date.accessioned | 2018-09-10T07:17:58Z | |
dc.date.available | 2018-09-10T07:17:58Z | |
dc.date.created | 2018-09-07T12:26:52Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Computational Management Science. 2018, 1-27. | nb_NO |
dc.identifier.issn | 1619-697X | |
dc.identifier.uri | http://hdl.handle.net/11250/2561609 | |
dc.description.abstract | Stochastic programming with recourse usually assumes uncertainty to be exogenous. Our work presents modelling and application of decision-dependent uncertainty in mathematical programming including a taxonomy of stochastic programming recourse models with decision-dependent uncertainty. The work includes several ways of incorporating direct or indirect manipulation of underlying probability distributions through decision variables in two-stage stochastic programming problems. Two-stage models are formulated where prior probabilities are distorted through an affine transformation or combined using a convex combination of several probability distributions. Additionally, we present models where the parameters of the probability distribution are first-stage decision variables. The probability distributions are either incorporated in the model using the exact expression or by using a rational approximation. Test instances for each formulation are solved with a commercial solver, BARON, using selective branching. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Springer Verlag | nb_NO |
dc.relation.uri | https://link.springer.com/article/10.1007/s10287-018-0330-0 | |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | Decision-dependent probabilities in stochastic programs with recourse | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.source.pagenumber | 1-27 | nb_NO |
dc.source.journal | Computational Management Science | nb_NO |
dc.identifier.doi | 10.1007/s10287-018-0330-0 | |
dc.identifier.cristin | 1607615 | |
dc.relation.project | Norges forskningsråd: 176089 | nb_NO |
dc.description.localcode | © The Author(s) 2018 Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/) | nb_NO |
cristin.unitcode | 194,60,25,0 | |
cristin.unitname | Institutt for industriell økonomi og teknologiledelse | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |