Risk minimization, regret minimization and progressive hedging algorithms
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Publication:2189451
Abstract: This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship between risk envelopes and regret envelopes is established by using the Lagrangian duality theory. Such a relationship opens a door to a decomposition scheme, called progressive hedging, for solving multistage risk minimization and regret minimization problems. In particular, the classical progressive hedging algorithm is modified in order to handle a new class of linkage constraints that arises from reformulations and other applications of risk and regret minimization problems. Numerical results are provided to show the efficiency of the progressive hedging algorithms.
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Cited in
(8)- Special issue: On the interface between optimization and probability
- A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
- A prediction-correction ADMM for multistage stochastic variational inequalities
- Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures
- Technical note -- Risk-averse regret minimization in multistage stochastic programs
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- The Inexact Parallel Splitting Augmented Lagrangian Algorithm for Multistage Stochastic Variational Inequalities
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