Time-consistent approximations of risk-averse multistage stochastic optimization problems
From MaRDI portal
(Redirected from Publication:747773)
Recommendations
- On a time consistency concept in risk averse multistage stochastic programming
- Time consistency of dynamic risk measures
- Multiperiod stochastic optimization problems with time-consistent risk constraints
- Decomposability and time consistency of risk averse multistage programs
- Time-inconsistent multistage stochastic programs: martingale bounds
Cites work
- scientific article; zbMATH DE number 3465097 (Why is no real title available?)
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- Analysis of stochastic dual dynamic programming method
- Bounds for nested law invariant coherent risk measures
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Conditional Risk Mappings
- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Evaluating policies in risk-averse multi-stage stochastic programming
- Introduction to Stochastic Programming
- Lectures on Stochastic Programming
- Modeling, measuring and managing risk
- Multi-stage stochastic optimization applied to energy planning
- Nonlinear optimization.
- Optimization of Convex Risk Functions
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk margin for a non-life insurance run-off
- Risk-averse dynamic programming for Markov decision processes
- Risk-averse two-stage stochastic linear programming: modeling and decomposition
- Scenario decomposition of risk-averse multistage stochastic programming problems
- Set-valued analysis
- Stochastic finance. An introduction in discrete time
- Tight approximations of dynamic risk measures
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Two-stage portfolio optimization with higher-order conditional measures of risk
Cited in
(19)- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation
- Multilevel optimization modeling for risk-averse stochastic programming
- Decomposability and time consistency of risk averse multistage programs
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Time (in)consistency of multistage distributionally robust inventory models with moment constraints
- Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
- On a time consistency concept in risk averse multistage stochastic programming
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- Stochastic dominance constraints in elastic shape optimization
- A quantitative comparison of risk measures
- A first order approach to a class of multi-time-period stochastic programming problems
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- Multiperiod stochastic optimization problems with time-consistent risk constraints
- Risk-averse model predictive control
- Regularized decomposition of high-dimensional multistage stochastic programs with Markov uncertainty
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
This page was built for publication: Time-consistent approximations of risk-averse multistage stochastic optimization problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q747773)
