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Stephan Tiedemann
Researcher at University of Duisburg-Essen
Publications - 2
Citations - 281
Stephan Tiedemann is an academic researcher from University of Duisburg-Essen. The author has contributed to research in topics: Stochastic modelling & Stochastic programming. The author has an hindex of 2, co-authored 2 publications receiving 267 citations.
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Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse
TL;DR: This paper considers Conditional Value-at-Risk as risk measure in the framework of two-stage stochastic integer programming, and presents an explicit mixed-integer linear programming formulation of the problem when the probability distribution is discrete and finite.
Journal ArticleDOI
Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
TL;DR: This work considers linear two-stage stochastic programs with mixed-integer recourse and includes into the objective a risk term reflecting the probability that a preselected cost threshold is exceeded.