Risk minimization, regret minimization and progressive hedging algorithms
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Publication:2189451
DOI10.1007/S10107-020-01471-8zbMATH Open1440.90037arXiv1705.00340OpenAlexW3099184399MaRDI QIDQ2189451FDOQ2189451
Publication date: 15 June 2020
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1705.00340
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Cited In (5)
- A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
- A prediction-correction ADMM for multistage stochastic variational inequalities
- Risk-averse optimal control model under uncertainty and its modified progressive hedging algorithm
- Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures
- Special issue: On the interface between optimization and probability
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