Corpus ID: 153312530

A Flexible Multi-Facility Capacity Expansion Problem with Risk Aversion

  title={A Flexible Multi-Facility Capacity Expansion Problem with Risk Aversion},
  author={Sixiang Zhao and W. Haskell and M. Cardin},
  journal={arXiv: Optimization and Control},
This paper studies flexible multi-facility capacity expansion with risk aversion. In this setting, the decision maker can periodically expand the capacity of facilities given observations of uncertain demand. We model this situation as a multi-stage stochastic programming problem. We express risk aversion in this problem through conditional value-at-risk (CVaR), and we formulate a mean-CVaR objective. To solve the multi-stage problem, we optimize over decision rules. In particular, we… Expand
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