Risk forms: representation, disintegration, and application to partially observable two-stage systems

DOI10.1007/S10107-019-01376-1zbMATH Open1445.90065arXiv1807.02300OpenAlexW2818220682MaRDI QIDQ2189442FDOQ2189442

Authors: Darinka Dentcheva, Andrzej Ruszczyński 

Publication date: 15 June 2020

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

Abstract: We introduce the concept of a risk form, which is a real functional of two arguments: a measurable function on a Polish space and a measure on that space. We generalize the duality theory and the Kusuoka representation to this setting. For a risk form acting on a product of Polish spaces, we define marginal and conditional forms and we prove a disintegration formula, which represents a risk form as a composition of its marginal and conditional forms. We apply the proposed approach to two-stage stochastic programming problems with partial information and decision-dependent observation distribution.

Full work available at URL: https://arxiv.org/abs/1807.02300

Recommendations

• Conditional Risk Mappings
• Risk measurement and risk-averse control of partially observable discrete-time Markov systems
• Polyhedral Risk Measures in Stochastic Programming
• Mathematical foundations of distributionally robust multistage optimization
• Mini-Batch Risk Forms

zbMATH Keywords

risk measurestwo-stage stochastic programmingKusuoka representationpartially observable systemsrisk decomposition

Mathematics Subject Classification ID

Stochastic programming (90C15) Programming in abstract spaces (90C48)

Cites Work

• Coherent measures of risk
• The Dual Theory of Choice under Risk
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Modeling, measuring and managing risk
• Convex measures of risk and trading constraints
• Convex risk measures and the dynamics of their penalty functions
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Lectures on Stochastic Programming
• Title not available (Why is that?)
• Set-valued analysis
• Dynamic monetary risk measures for bounded discrete-time processes
• Title not available (Why is that?)
• Two-stage portfolio optimization with higher-order conditional measures of risk
• Law invariant convex risk measures
• Law invariant risk measures have the Fatou property
• A class of stochastic programs with decision dependent random elements
• Risk-averse two-stage stochastic linear programming: modeling and decomposition
• Title not available (Why is that?)
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• Coherent multiperiod risk adjusted values and Bellman's principle
• Optimization of Convex Risk Functions
• Dynamic coherent risk measures
• Composition of time-consistent dynamic monetary risk measures in discrete time
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Risk-averse dynamic programming for Markov decision processes
• Conditional Risk Mappings
• Risk preferences on the space of quantile functions
• Common mathematical foundations of expected utility and dual utility theories
• Kusuoka representations of coherent risk measures in general probability spaces
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
• Risk measurement and risk-averse control of partially observable discrete-time Markov systems
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Time-coherent risk measures for continuous-time Markov chains

Cited In (5)

• Mini-Batch Risk Forms
• Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
• Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
• Special issue: On the interface between optimization and probability
• Markov risk mappings and risk-sensitive optimal prediction

This page was built for publication: Risk forms: representation, disintegration, and application to partially observable two-stage systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2189442)