Scenario decomposition of risk-averse multistage stochastic programming problems
نویسندگان
چکیده
منابع مشابه
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...
متن کاملMinimax and risk averse multistage stochastic programming
In this paper we study relations between the minimax, risk averse and nested formulations of multistage stochastic programming problems. In particular, we discuss conditions for time consistency of such formulations of stochastic problems. We also describe a connection between law invariant coherent risk measures and the corresponding sets of probability measures in their dual representation. F...
متن کاملParallel Scenario Decomposition of Risk-Averse 0-1 Stochastic Programs
In this paper, we extend a recently proposed scenario decomposition algorithm (Ahmed (2013)) for risk-neutral 0-1 stochastic programs to the risk-averse setting. Specifically, we consider risk-averse 0-1 stochastic programs with objective functions based on coherent risk measures. Using a dual representation of a coherent risk measure, we first derive an equivalent minimax reformulation of the ...
متن کاملTime-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...
متن کاملRisk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures. We analyze properties of the problem and derive necessary and sufficient optimality conditions. Next, we construct two decomposition methods for solving the problem. The firs...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2011
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-011-0935-y