Bi-objective Risk-averse Facility Location using a Subset-based Representation of the Conditional Value-at-Risk

Najmesadat Nazemi, Sophie Parragh, Walter Gutjahr

2022

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 formulation affects the obtained solutions.

Paper Citation

in Harvard Style

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 - Volume 1: ICORES, ISBN 978-989-758-548-7, pages 77-85. DOI: 10.5220/0010914900003117

in Bibtex Style

@conference{icores22,
author={Najmesadat Nazemi and Sophie Parragh and Walter 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 - Volume 1: ICORES,},
year={2022},
pages={77-85},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0010914900003117},
isbn={978-989-758-548-7},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 11th International Conference on Operations Research and Enterprise Systems - Volume 1: 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
AU - Nazemi N.
AU - Parragh S.
AU - Gutjahr W.
PY - 2022
SP - 77
EP - 85
DO - 10.5220/0010914900003117