Decomposability and time consistency of risk averse multistage programs

被引：9

作者：

Shapiro, A. ^{[1
]}

Ugurlu, K. ^{[2
]}

机构：

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

[2] Univ Southern Calif, Dept Math, Los Angeles, CA 90089 USA

来源：

OPERATIONS RESEARCH LETTERS | 2016年 / 44卷 / 05期

关键词：

Stochastic programming; Coherent risk measures; Time consistency;

D O I：

10.1016/j.orl.2016.07.015

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：

Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the corresponding risk measure are postulated which imply its decomposability. The other approach deals directly with conditional optimality of solutions of the considered problem. The aim of this paper is to discuss a relation between these two approaches. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：663 / 665

页数：3

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