Najmesadat Nazemi, Sophie Parragh, W.J. Gutjahr,
"Bi-objective risk-averse facility location using a subset-based representation of the conditional value-at-risk"
: Proceedings of the 11th International Conference on Operations Research and Enterprise Systems, Seite(n) 108-116, 2022, ISBN: 978-989-758-548-7
Bi-objective risk-averse facility location using a subset-based representation of the conditional value-at-risk
Sprache des Titels:
Proceedings of the 11th International Conference on Operations Research and Enterprise Systems
For many real-world decision-making problems subject to uncertainty, it may be essential to deal with multiple and often conflicting objectives while taking the decision-makers' risk preferences into account. Conditional value-at-risk (CVaR) is a widely applied risk measure to address risk-averseness of the decision-makers. In this paper, we use the subset-based polyhedral representation of the CVaR to reformulate the bi-objective two-stage stochastic facility location problem presented in (Nazemi et al., 2021).
We propose an approximate cutting-plane method to deal with this more computationally challenging subset-based formulation. Then, the cutting plane method is embedded into the $\epsilon$-constraint method, the balanced-box method, and a recently developed matheuristic method to address the bi-objective nature of the problem.
Our computational results show the effectiveness of the proposed method. Finally, we discuss how incorporating an approximation of the subset-based polyhedral formulation affects the obtained solutions.