5 papers · 1 filter
Bilevel Optimization under Uncertainty
Johanna Burtscheidt, Matthias Claus
We consider bilevel linear problems, where the right-hand side of the lower level problems is stochastic. The leader has to decide in a here-and-now fashion, while the follower has…
Risk-Averse Models in Bilevel Stochastic Linear Programming
J. Burtscheidt, M. Claus, S. Dempe
We consider bilevel linear problems, where some parameters are stochastic, and the leader has to decide in a here-and-now fashion, while the follower has complete information. In t…
On Risk-Averse Stochastic Semidefinite Programs with Continuous Recourse
Matthias Claus, Rüdiger Schultz, Kai Spürkel +1
The vast majority of the literature on stochastic semidefinite programs (stochastic SDPs) with recourse is concerned with risk-neutral models. In this paper, we introduce mean-risk…
Strong Convexity for Risk-Averse Two-Stage Models with Fixed Complete Linear Recourse
Matthias Claus, Kai Spürkel
This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) p…
Strong Convexity in Stochastic Programs with Deviation Risk Measures
Matthias Claus, Rüdiger Schultz, Kai Spürkel
We give sufficient conditions for the expected excess and the upper semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic p…