On a time consistency concept in risk averse multistage stochastic programming

被引：108

作者：

Shapiro, Alexander ^{[1
]}

机构：

[1] Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA

来源：

OPERATIONS RESEARCH LETTERS | 2009年 / 37卷 / 03期

关键词：

Risk averse stochastic programming; Dynamic programming; Time consistency; COHERENT;

D O I：

10.1016/j.orl.2009.02.005

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We discuss time consistency of multistage risk averse stochastic programming problems. The concept of time consistency is approached from an optimization point of view. That is, at each state of the system optimality of a decision policy should not involve states which cannot happen in the future. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：143 / 147

页数：5

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