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A Mean-Risk Mixed Integer Nonlinear Program For Transportation Network Protection, Jie Lu, Akshay Gupte, Yongxi Huang
A Mean-Risk Mixed Integer Nonlinear Program For Transportation Network Protection, Jie Lu, Akshay Gupte, Yongxi Huang
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This paper focuses on transportation network protection to hedge against extreme events such as earthquakes. Traditional two-stage stochastic programming has been widely adopted to obtain solutions under a risk-neutral preference through the use of expectations in the recourse function. In reality, decision makers hold different risk preferences. We develop a mean-risk two-stage stochastic programming model that allows for greater flexibility in handling risk preferences when allocating limited resources. In particular, the first stage minimizes the retrofitting cost by making strategic retrofit decisions whereas the second stage minimizes the travel cost. The conditional value-at-risk (CVaR) is included as the risk measure …