Polymatroids and mean-risk minimization in discrete optimization
نویسندگان
چکیده
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.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 36 شماره
صفحات -
تاریخ انتشار 2008