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On a class of minimax stochastic programs. (English) Zbl 1073.90027

Summary: For a particular class of minimax stochastic programming models, we show that the problem can be equivalently reformulated into a standard stochastic programming problem. This permits the direct use of standard decomposition and sampling methods developed for stochastic programming. We also show that this class of minimax stochastic programs is closely related to a large family of mean-risk stochastic programs where risk is measured in terms of deviations from a quantile.

MSC:

90C15 Stochastic programming
90C47 Minimax problems in mathematical programming

Software:

SUTIL
Full Text: DOI