Beyond Mean–Variance: The Mean–Gini Approach to Optimization Under Uncertainty
نویسندگان
چکیده
منابع مشابه
Stochastic programming approach to optimization under uncertainty
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic programming problems can be solved with a reasonable accuracy by Monte Carlo sampling techniques while there are indications that complexity of multistage programs grows fast with increase of the number of stages. We ...
متن کاملScheduling optimization under uncertainty - an alternative approach
The prevalent approach to the treatment of processing time uncertainties in production scheduling problems is through the use of probabilistic models. Apart from requiring detailed information about probability distribution functions, this approach also has the drawback that the computational expense of solving these models is very high. In this work, we present a non-probabilistic treatment of...
متن کاملA Novel Sampling Approach to Combinatorial Optimization Under Uncertainty
The generalized approach to stochastic optimization involves two computationally intensive recursive loops: (1) the outer optimization loop, (2) the inner sampling loop. Furthermore, inclusion of discrete decision variables adds to the complexity. The focus of the current endeavor is to reduce the computational intensity of the two recursive loops. The study achieves the goals through an improv...
متن کاملChance constrained programming approach to process optimization under uncertainty
Deterministic optimization approaches have been well developed and widely used in the process industry to accomplish off-line and on-line process optimization. The challenging task for the academic research currently is to address large-scale, complex optimization problems under various uncertainties. Therefore, investigations on the development of stochastic optimization approaches are necessi...
متن کاملWorst-Case-Expectation Approach to Optimization Under Uncertainty
In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation were the data process can be naturally separated into two components, one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst case) point of view. We formulate this in a time consistent way and deri...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mechanical Design
سال: 2017
ISSN: 1050-0472,1528-9001
DOI: 10.1115/1.4038566