A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms

DOI10.1142/S0217595920400047zbMath1459.90139OpenAlexW3027925889MaRDI QIDQ5149518

Liangshao Hou, Min Zhang, Ailing Yan, Jie Sun

Publication date: 11 February 2021

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0217595920400047

zbMATH Keywords

stochastic optimizationrisk-aversionprogressive hedging algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items

The elicited progressive decoupling algorithm: a note on the rate of convergence and a preliminary numerical experiment on the choice of parameters

Cites Work

• Unnamed Item
• Variance vs downside risk: Is there really that much difference?
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
• Solving Lagrangian variational inequalities with applications to stochastic programming
• A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Convex Analysis