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Authors: Najmesadat Nazemi 1 ; Sophie N. Parragh 1 and Walter J. Gutjahr 2

Affiliations: 1 Institute of Production and Logistics Management, Johannes Kepler University Linz, Austria ; 2 Department of Statistics and Operations Research, University of Vienna, Austria

Keyword(s): Risk-averse, Conditional Value-at-Risk, Cutting-plane, Bi-objective Optimization.

Abstract: 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 ε-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 for mulation affects the obtained solutions. (More)

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Paper citation in several formats:
Nazemi, N.; Parragh, S. and Gutjahr, W. (2022). Bi-objective Risk-averse Facility Location using a Subset-based Representation of the Conditional Value-at-Risk. In Proceedings of the 11th International Conference on Operations Research and Enterprise Systems - ICORES; ISBN 978-989-758-548-7; ISSN 2184-4372, SciTePress, pages 77-85. DOI: 10.5220/0010914900003117

@conference{icores22,
author={Najmesadat Nazemi. and Sophie N. Parragh. and Walter J. Gutjahr.},
title={Bi-objective Risk-averse Facility Location using a Subset-based Representation of the Conditional Value-at-Risk},
booktitle={Proceedings of the 11th International Conference on Operations Research and Enterprise Systems - ICORES},
year={2022},
pages={77-85},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0010914900003117},
isbn={978-989-758-548-7},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 11th International Conference on Operations Research and Enterprise Systems - ICORES
TI - Bi-objective Risk-averse Facility Location using a Subset-based Representation of the Conditional Value-at-Risk
SN - 978-989-758-548-7
IS - 2184-4372
AU - Nazemi, N.
AU - Parragh, S.
AU - Gutjahr, W.
PY - 2022
SP - 77
EP - 85
DO - 10.5220/0010914900003117
PB - SciTePress

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