Polymatroids and mean-risk minimization in discrete optimization

Authors:
Alper AtamtüRk;Vishnu Narayanan
Affiliations:
Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA 94720-1777, USA;Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA 94720-1777, USA
Venue:
Operations Research Letters
Year:
2008

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Abstract

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.