Multilevel optimization modeling for risk-averse stochastic programming

DOI10.1287/IJOC.2015.0665MaRDI QIDQ2806871zbMATHOpenAlexFDO

Authors Jonathan Eckstein, Deniz Eskandani, Jingnan Fan

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

zbMATH Keywords

computational complexitybilevel programmingstochastic programmingmultilevel optimizationtime consistencycoherent risk measuresrisk modelingoptimization modeling

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• A note on the Pareto optimality of solutions to the linear bilevel programming problem
• A structure-conveying modelling language for mathematical and stochastic programming
• Coherent measures of risk
• Computational Difficulties of Bilevel Linear Programming
• Conditional Risk Mappings
• Conditional value-at-risk: optimization approach
• Dynamic coherent risk measures
• Dynamic monetary risk measures for bounded discrete-time processes
• Extending algebraic modelling languages for stochastic programming
• Generalized deviations in risk analysis
• Interior-point algorithms, penalty methods and equilibrium problems
• New Branch-and-Bound Rules for Linear Bilevel Programming
• Optimization of risk measures
• PySP: modeling and solving stochastic programs in Python
• Representation results for law invariant time consistent functions
• Risk-averse dynamic programming for Markov decision processes
• Scenario decomposition of risk-averse multistage stochastic programming problems
• Some properties of the bilevel programming problem
• Stochastic finance. An introduction in discrete time
• The polynomial hierarchy and a simple model for competitive analysis
• Time consistency of dynamic risk measures
• Time consistent dynamic risk measures
• Time-consistent approximations of risk-averse multistage stochastic optimization problems

Cited in

(6)

• A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
• Multiperiod stochastic optimization problems with time-consistent risk constraints
• Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
• Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
• Martingale characterizations of risk-averse stochastic optimization problems
• Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR

Describes a project that uses

Uses Software

• Gurobi
• PySP
• SAMPLE

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