A shortest path problem with random and interval variables for arcs based on conditional value at risk

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper considers a shortest path problem with both random and interval variables for arcs and proposes a new risk measure to synthesize both stochastic conditional Value at Risk and order relation of interval values. The proposed model defined by the hybrid conditional Value at Risk is equivalently transformed into a 0-1 mixed integer programming problem. In order to this problem analytically and efficiently, the Lagrange 0-1 relaxation problem using the property of totally unimodular to the shortest path problem is equivalently performed. The numerical example is provided to compare the proposed model with the other standard models.

Original languageEnglish
Title of host publicationIEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management
Pages371-375
Number of pages5
DOIs
Publication statusPublished - 2010
Externally publishedYes
EventIEEE International Conference on Industrial Engineering and Engineering Management, IEEM2010 - Macao, China
Duration: 2010 Dec 72010 Dec 10

Other

OtherIEEE International Conference on Industrial Engineering and Engineering Management, IEEM2010
CountryChina
CityMacao
Period10/12/710/12/10

Fingerprint

Integer programming

Keywords

  • Conditional Value at Risk (cVaR)
  • Deterministic equivalent transformation
  • Interval value
  • Shortest path problem

ASJC Scopus subject areas

  • Industrial and Manufacturing Engineering

Cite this

Hasuike, T. (2010). A shortest path problem with random and interval variables for arcs based on conditional value at risk. In IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management (pp. 371-375). [5674295] https://doi.org/10.1109/IEEM.2010.5674295

A shortest path problem with random and interval variables for arcs based on conditional value at risk. / Hasuike, Takashi.

IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management. 2010. p. 371-375 5674295.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Hasuike, T 2010, A shortest path problem with random and interval variables for arcs based on conditional value at risk. in IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management., 5674295, pp. 371-375, IEEE International Conference on Industrial Engineering and Engineering Management, IEEM2010, Macao, China, 10/12/7. https://doi.org/10.1109/IEEM.2010.5674295
Hasuike T. A shortest path problem with random and interval variables for arcs based on conditional value at risk. In IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management. 2010. p. 371-375. 5674295 https://doi.org/10.1109/IEEM.2010.5674295
Hasuike, Takashi. / A shortest path problem with random and interval variables for arcs based on conditional value at risk. IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management. 2010. pp. 371-375
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