Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142700 | Operations Research Letters | 2008 | 5 Pages |
Abstract
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 valid inequalities. We report computational experiments on risk-averse capital budgeting problems with uncertain returns.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Alper Atamtürk, Vishnu Narayanan,