Journal
OPERATIONS RESEARCH LETTERS
Volume 36, Issue 5, Pages 618-622Publisher
ELSEVIER
DOI: 10.1016/j.orl.2008.04.006
Keywords
Conic integer programming; Value-at-risk; Ellipsoidal uncertainty sets; Submodular functions
Categories
Funding
- National Science Foundation [0700203]
- Directorate For Engineering
- Div Of Civil, Mechanical, & Manufact Inn [0700203] Funding Source: National Science Foundation
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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. (c) 2008 Elsevier B.V. All rights reserved.
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