Results 261 to 270 of about 6,023,559 (283)

Stochastic Congestion Games with Risk-Averse Players

2013
Congestion games ignore the stochastic nature of resource delays and the risk-averse attitude of the players to uncertainty. To take these aspects into account, we introduce two variants of atomic congestion games, one with stochastic players, where each player assigns load to her strategy independently with a given probability, and another with ...
Haris Angelidakis, Dimitris Fotakis 0001, Thanasis Lianeas   +2 more
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A Note on Stability for Risk-Averse Stochastic Complementarity Problems

Journal of Optimization Theory and Applications, 2016
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Johanna Burtscheidt, Matthias Claus
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Stochastic Programming Models for Decreasing Risk Aversion

Journal of the Operational Research Society, 1981
For a stochastic programming problem with simple recourse, we show how to formulate and analyze a model that encodes the common risk attitude of decreasing risk aversion. We discuss a class of linear fractional utility functions that represent this risk attitude and show that for such a utility function the resulting nonlinear model can be reduced to a
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Stochastic dominance without risk aversion

Economics Letters, 1979
Abstract The time at which uncertainty is being resolved, rather than risk aversion, is used to show that if there exists a market for fair gambles then consumers will, in general, prefer less variability in their future income.
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Risk-Aversive Stochastic Transit

2014
Session B5: Network Modeling ...
Jiang, Y, Szeto, WY, Wong, SC
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Stochastic decomposition for risk-averse two-stage stochastic linear programs

Journal of Global Optimization
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Prasad Parab, Lewis Ntaimo, Bernardo K. Pagnoncelli   +2 more
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Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity

Operations Research, 2018
In this paper, we develop a risk-averse two-stage stochastic program (RTSP) that explicitly incorporates the distributional ambiguity covering both discrete and continuous distributions. We formulate RTSP from the perspective of distributional robustness by hedging against the worst-case distribution within an ambiguity set and considering the ...
Ruiwei Jiang, Yongpei Guan
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Risk Aversion in Two-Stage Stochastic Integer Programming

2010
Some recent developments in the area of risk aversion in stochastic integer programming are surveyed. After a discussion of modeling guidelines and resulting mean–risk stochastic integer programs emphasis is placed on structural properties of these optimization problems and on algorithms for their solution. Bibliographical notes conclude the Chapter.
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Risk-averse multistage stochastic programs with expected conditional risk measures

Computers & Operations Research
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Maryam Khatami, Thuener Silva, Bernardo K. Pagnoncelli, Lewis Ntaimo   +3 more
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State Space Search with Stochastic Costs and Risk Aversion

2015
In this paper we study state space search problems where the costs of transitions are uncertain. Cost uncertainty can be due to the existence of several scenarios impacting the entire set of transitions; it can also result from local random factors impacting each transition independently, or from more complex combinations of these two cases. This leads
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