RISK-AVERSE STOCHASTIC ORIENTEERING PROBLEMS

Dynamic Stochastic Orienteering Problems

Orienteering problems (OPs) are a variant of the well-known prize-collecting traveling salesman problem, where the salesman needs to choose a subset of cities to visit within a given deadline. OPs and their extensions with stochastic travel times (SOPs) have been used to model vehicle routing problems and tourist trip design problems. However, they suffer from two limitations – travel times bet...

Dynamic Stochastic Orienteering Problems for Risk-Aware Applications

Orienteering problems (OPs) are a variant of the well-known prize-collecting traveling salesman problem, where the salesman needs to choose a subset of cities to visit within a given deadline. OPs and their extensions with stochastic travel times (SOPs) have been used to model vehicle routing problems and tourist trip design problems. However, they suffer from two limitations – travel times bet...

Scenario decomposition of risk-averse multistage stochastic programming problems

We briefly discuss some history on the development of risk-averse optimization leading into coherent risk measures. For a riskaverse multistage stochastic optimization problem with a finite scenario tree, we introduce a new scenario decomposition method and prove its convergence. We then show how to apply our method to a typical operations management inventory and assembly problem. BIOGRAPHY Dr...

Time-consistent approximations of risk-averse multistage stochastic optimization problems

OF THE DISSERTATION TIME-CONSISTENT APPROXIMATIONS OF RISK-AVERSE MULTISTAGE STOCHASTIC OPTIMIZATION PROBLEMS by Tsvetan Asamov Dissertation Director: Andrzej Ruszczyński In this work we study the concept of time consistency as it relates to multistage risk-averse stochastic optimization problems on finite scenario trees. We use dynamic time-consistent formulations to approximate problems havin...

Risk-averse stochastic path detection