Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area. Existing studies focus on extending univariate stochastic dominance rules to the multivariate case. Hover, enforcing multivariate stochastic dominance constraints can often be overly conservative in practice. As an alternative,  focus on the widely applied risk measure conditional value-at-risk (CVaR), introduce a multivariate CVaR relation, and develop a novel optimization model with multivariate CVaR constraints based on polyhedral scalarization. To solve such problems for finite probability spaces,  develop a cut generation algorithm, where each cut is obtained by solving a mixed-integer problem.  show that a multivariate CVaR constraint reduces to finitely many univariate CVaR co...
['Nilay Noyan', 'G. Rudolf']
I am writing a research paper on a idea Optimization with Multivariate Conditional Value-at-Risk Constraints
[{"from": "human", "value": "I am writing a research paper on a idea Optimization with Multivariate Conditional Value-at-Risk Constraints"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area. Existing studies focus on extending univariate stochastic dominance rules to the multivariate case. Hover, enforcing multivariate stochastic dominance constraints can often be overly conservative in practice. As an alternative,  focus on the widely applied risk measure conditional value-at-risk (CVaR), introduce a multivariate CVaR relation, and develop a novel optimization model with multivariate CVaR constraints based on polyhedral scalarization. To solve such problems for finite probability spaces,  develop a cut generation algorithm, where each cut is obtained by solving a mixed-integer problem.  show that a multivariate CVaR constraint reduces to finitely many univariate CVaR co..."}]