Evaluating policies in risk-averse multi-stage stochastic programming
From MaRDI portal
Publication:494328
DOI10.1007/S10107-014-0787-8zbMATH Open1327.90155OpenAlexW1991093460MaRDI QIDQ494328FDOQ494328
Authors: Václav Kozmík, David Morton 
Publication date: 31 August 2015
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-014-0787-8
Recommendations
- SDDP for multistage stochastic linear programs based on spectral risk measures
- Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Structure of risk-averse multistage stochastic programs
- Risk neutral and risk averse stochastic dual dynamic programming method
importance samplingstochastic dual dynamic programmingmulti-stage stochastic programmingrisk-averse optimization
Cites Work
- Bayesian forecasting and dynamic models.
- Modeling, measuring and managing risk
- On the convergence of stochastic dual dynamic programming and related methods
- Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
- Risk neutral and risk averse stochastic dual dynamic programming method
- Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
- The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse
- Lectures on Stochastic Programming
- Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming
- Analysis of stochastic dual dynamic programming method
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- On solving multistage stochastic programs with coherent risk measures
- Risk-averse dynamic programming for Markov decision processes
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- On a time consistency concept in risk averse multistage stochastic programming
- Conditional Risk Mappings
- Inference of statistical bounds for multistage stochastic programming problems
- Title not available (Why is that?)
Cited In (40)
- Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Risk-averse approximate dynamic programming with quantile-based risk measures
- Stochastic dynamic cutting plane for multistage stochastic convex programs
- The effect of regularization in portfolio selection problems
- Distributionally robust SDDP
- Risk management for forestry planning under uncertainty in demand and prices
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
- Distributionally Robust Stochastic Dual Dynamic Programming
- Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
- Models of Policy under Stochastic Replanning
- Sample average approximation for risk-averse problems: a virtual power plant scheduling application
- Variance reduction for sequential sampling in stochastic programming
- Inexact cuts in stochastic dual dynamic programming
- Complexity of stochastic dual dynamic programming
- On variance reduction of mean-CVaR Monte Carlo estimators
- An improved averaged two-replication procedure with Latin hypercube sampling
- Dynamic stochastic approximation for multi-stage stochastic optimization
- Profit sharing mechanisms in multi-owned cascaded hydrosystems
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems
- Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
- Structure of risk-averse multistage stochastic programs
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- Risk neutral and risk averse stochastic dual dynamic programming method
- Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
- Dual dynamic programming with cut selection: convergence proof and numerical experiments
- Conditional value‐at‐risk beyond finance: a survey
- Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
- The last dozen of years of or research in Czechia and Slovakia
- SDDP for multistage stochastic linear programs based on spectral risk measures
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
- Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
- Markov decision processes with risk-sensitive criteria: an overview
- Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
- A unified framework for stochastic optimization
Uses Software
This page was built for publication: Evaluating policies in risk-averse multi-stage stochastic programming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q494328)
