TY - GEN
T1 - A shortest path problem with random and interval variables for arcs based on conditional value at risk
AU - Hasuike, T.
PY - 2010
Y1 - 2010
N2 - 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.
AB - 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.
KW - Conditional Value at Risk (cVaR)
KW - Deterministic equivalent transformation
KW - Interval value
KW - Shortest path problem
UR - http://www.scopus.com/inward/record.url?scp=78751689488&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=78751689488&partnerID=8YFLogxK
U2 - 10.1109/IEEM.2010.5674295
DO - 10.1109/IEEM.2010.5674295
M3 - Conference contribution
AN - SCOPUS:78751689488
SN - 9781424485031
T3 - IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management
SP - 371
EP - 375
BT - IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management
T2 - IEEE International Conference on Industrial Engineering and Engineering Management, IEEM2010
Y2 - 7 December 2010 through 10 December 2010
ER -