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The α-reliable mean-excess regret model for stochastic facility location modeling
Article first published online: 28 JUL 2006
DOI: 10.1002/nav.20180
Copyright © 2006 Wiley Periodicals, Inc.
Issue
1520-6750/asset/cover.gif?v=1&s=1bdad4849bee8229bbc4053fa1d796b87c453243 "Naval Research Logistics (NRL)")
Naval Research Logistics (NRL)
Special Issue: Special Issue on Applications of Financial Engineering in Operations, Production, Services, Logistics, and Management
Volume 53, Issue 7, pages 617–626, October 2006
Additional Information
How to Cite
Chen, G., Daskin, M. S., Shen, Z.-J. M. and Uryasev, S. (2006), The α-reliable mean-excess regret model for stochastic facility location modeling. Naval Research Logistics, 53: 617–626. doi: 10.1002/nav.20180
Publication History
- Issue published online: 29 AUG 2006
- Article first published online: 28 JUL 2006
- Manuscript Accepted: 10 JUN 2006
- Manuscript Revised: 25 APR 2006
- Manuscript Received: 13 AUG 2004
- Abstract
- References
- Cited By
Keywords:
- location model;
- p-median;
- stochastic;
- scenario modeling;
- risk management
Abstract
In this paper, we study a strategic facility location problem under uncertainty. The uncertainty associated with future events is modeled by defining alternative future scenarios with probabilities. We present a new model called the α-reliable mean-excess model that minimizes the expected regret with respect to an endogenously selected subset of worst-case scenarios whose collective probability of occurrence is no more than 1 − α. Our mean-excess risk measure is coherent and computationally efficient. Computational experiments also show that the α-reliable mean-excess criterion matches the α-reliable minimax criterion closely. © 2006 Wiley Periodicals, Inc. Naval Research Logistics 2006