BibTex format
@inproceedings{Zhao:2020,
author = {Zhao, S and Haskell, WB and Cardin, M-A},
title = {A flexible multi-capacity expansion problem with risk aversion},
year = {2020}
}
Publications
Citation
RIS format (EndNote, RefMan)
TY - CPAPER
AB - This paper studies flexible multi-facility capacity expansion with risk aversion. We express risk aversion inthis problem through conditional value-at-risk (CVaR) and model it as a multi-stage stochastic programming problem with a mean-CVaR objective. To solve the multi-stage problem, we approximate the fullpolicy space of the problem with a tractable family of if-then policies. Subsequently, a decomposition algorithm is proposed to optimize the decision rule. To illustrate the practical effectiveness of this method,a numerical study on the waste-to-energy system in Singapore is presented. These simulation results showthat by adjusting the weight factor of mean and CVaR in the objective function, decision makers are ableto trade off between a risk-averse policy that has a higher expected cost but a lower value-at-risk, and arisk-neutral policy that has a lower expected cost but a higher value-at-risk.
AU - Zhao,S
AU - Haskell,WB
AU - Cardin,M-A
PY - 2020///
TI - A flexible multi-capacity expansion problem with risk aversion
ER -