Multilevel optimization modeling for risk-averse stochastic programming

DOI10.1287/IJOC.2015.0665zbMATH Open1338.90281OpenAlexW2253252141MaRDI QIDQ2806871FDOQ2806871

Deniz Eskandani, Jingnan Fan, Jonathan Eckstein

Publication date: 19 May 2016

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/31522b6d39a65d00186437abf9563beba388e646

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zbMATH Keywords

computational complexitybilevel programmingstochastic programmingmultilevel optimizationtime consistencycoherent risk measuresrisk modelingoptimization modeling

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• PySP: modeling and solving stochastic programs in Python
• Extending algebraic modelling languages for stochastic programming
• Coherent measures of risk
• Generalized deviations in risk analysis
• The polynomial hierarchy and a simple model for competitive analysis
• New Branch-and-Bound Rules for Linear Bilevel Programming
• Stochastic finance. An introduction in discrete time
• Dynamic monetary risk measures for bounded discrete-time processes
• Some properties of the bilevel programming problem
• Representation results for law invariant time consistent functions
• Dynamic coherent risk measures
• Conditional value-at-risk: optimization approach
• Title not available (Why is that?)
• Risk-averse dynamic programming for Markov decision processes
• Computational Difficulties of Bilevel Linear Programming
• Scenario decomposition of risk-averse multistage stochastic programming problems
• Time consistency of dynamic risk measures
• Time consistent dynamic risk measures
• Title not available (Why is that?)
• Conditional Risk Mappings
• Interior-point algorithms, penalty methods and equilibrium problems
• A note on the Pareto optimality of solutions to the linear bilevel programming problem
• Time-consistent approximations of risk-averse multistage stochastic optimization problems
• A structure-conveying modelling language for mathematical and stochastic programming

Cited In (3)

• A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
• Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
• Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR

Uses Software

• Gurobi
• PySP
• SAMPLE

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