Interchangeability principle and dynamic equations in risk averse stochastic programming

DOI10.1016/J.ORL.2017.05.008MaRDI QIDQ1728267zbMATH OpenOpenAlexWikidataFDO

Authors Alexander Shapiro

Publication date 22 February 2019

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2017.05.008

zbMATH Keywords

strict monotonicitydynamic equationsconvex risk measurestime consistencyinterchangeability principletwo and multistage stochastic programming

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15)

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Cites work

• Decomposability and time consistency of risk averse multistage programs
• Lectures on stochastic programming. Modeling and theory.
• Optimization of Convex Risk Functions
• Variational Analysis

Cited in

(13)

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• Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
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• Distributionally robust modeling of optimal control
• Technical note -- time inconsistency of optimal policies of distributionally robust inventory models
• Dynamic risked equilibrium
• Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures
• Mathematical foundations of distributionally robust multistage optimization
• Minimization interchange theorem on posets
• Martingale characterizations of risk-averse stochastic optimization problems
• Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping

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