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

DOI10.1007/S10107-014-0813-XzbMath1327.90147OpenAlexW2058589222MaRDI QIDQ747773

Tsvetan Asamov, Ruszczyński, Andrzej

Publication date: 19 October 2015

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-014-0813-x

zbMATH Keywords

decompositiontime consistencydynamic measures of risk

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Decomposition methods (49M27)

Related Items (11)

On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management ⋮ Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization ⋮ A quantitative comparison of risk measures ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management ⋮ Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty ⋮ Risk-averse model predictive control ⋮ On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty ⋮ Time (in)consistency of multistage distributionally robust inventory models with moment constraints ⋮ Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals ⋮ Multilevel Optimization Modeling for Risk-Averse Stochastic Programming

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