riskcombopt-MOR外文电子书籍.pdfVIP

Stochastic Combinatorial Optimization with Controllable Risk Aversion Level Anthony Man–Cho So Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong email: manchoso@se.cuhk.edu.hk Jiawei Zhang Department of Information, Operations, and Management Sciences, Stern School of Business, New York University, New York, NY 10012, USA email: jzhang@stern.nyu.edu Yinyu Ye Department of Management Science and Engineering and, by courtesy, Electrical Engineering, Stanford University, Stanford, CA 94305, USA email: yinyu-ye@stanford.edu Most of the recent work on 2–stage stochastic combinatorial optimization problems have focused on the min- imization of the expected cost or the worst–case cost of the solution. Those two objectives can be viewed as two extreme ways of handling risk. In this paper we propose to use an one–parameter family of functionals to interpolate between them. Although such a family has been used in the mathematical finance and stochastic programming literature before, its use in the context of approximation algorithms seems new. We show that under standard assumptions, a broad class of risk–adjusted 2–stage stochastic programs can be efficiently treated by the Sample Average Approximation (SAA) method. In particular, our result shows that it is computationally feasible to incorporate some d