抄録
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.
| 元の言語 | English |
|---|---|
| ホスト出版物のタイトル | IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management |
| ページ | 371-375 |
| ページ数 | 5 |
| DOI | |
| 出版物ステータス | Published - 2010 |
| 外部発表 | Yes |
| イベント | IEEE International Conference on Industrial Engineering and Engineering Management, IEEM2010 - Macao, China 継続期間: 2010 12 7 → 2010 12 10 |
Other
| Other | IEEE International Conference on Industrial Engineering and Engineering Management, IEEM2010 |
|---|---|
| 国 | China |
| 市 | Macao |
| 期間 | 10/12/7 → 10/12/10 |
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ASJC Scopus subject areas
- Industrial and Manufacturing Engineering
これを引用
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.研究成果: Conference contribution
}
TY - GEN
T1 - A shortest path problem with random and interval variables for arcs based on conditional value at risk
AU - Hasuike, Takashi
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
SP - 371
EP - 375
BT - IEEM2010 - IEEE International Conference on Industrial Engineering and Engineering Management
ER -