Time-consistent approximations of risk-averse multistage stochastic optimization problems
被引:0
作者:
Tsvetan Asamov
论文数: 0引用数: 0
h-index: 0
机构:Princeton University,Department of Operations Research and Financial Engineering
Tsvetan Asamov
Andrzej Ruszczyński
论文数: 0引用数: 0
h-index: 0
机构:Princeton University,Department of Operations Research and Financial Engineering
Andrzej Ruszczyński
机构:
[1] Princeton University,Department of Operations Research and Financial Engineering
[2] Rutgers University,Department of Management Science and Information Systems
来源:
Mathematical Programming
|
2015年
/
153卷
关键词:
Dynamic measures of risk;
Time consistency;
Decomposition;
90C15;
90C25;
49M27;
D O I:
暂无
中图分类号:
学科分类号:
摘要:
In this paper we study the concept of time consistency as it relates to multistage risk-averse stochastic optimization problems on finite scenario trees. We use dynamic time-consistent formulations to approximate problems having a single coherent risk measure applied to the aggregated costs over all time periods. The dual representation of coherent risk measures is used to create a time-consistent cutting plane algorithm. Additionally, we also develop methods for the construction of universal time-consistent upper bounds, when the objective function is the mean-semideviation measure of risk. Our numerical results indicate that the resulting dynamic formulations yield close approximations to the original problem.
机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
Chen, Zhiping
Liu, Jia
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机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
Liu, Jia
Li, Gang
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h-index: 0
机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
Li, Gang
Yan, Zhe
论文数: 0引用数: 0
h-index: 0
机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
机构:
Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R ChinaLanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China
Li, Yongwu
Li, Zhongfei
论文数: 0引用数: 0
h-index: 0
机构:
Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou 510275, Guangdong, Peoples R China
Sun Yat Sen Univ, Sun Yatsen Business Sch, Guangzhou 510275, Guangdong, Peoples R ChinaLanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China
机构:
Univ Rey Juan Carlos, Area Stat & Operat Res, URJC, Mostoles, Madrid, SpainUniv Politecn Cataluna, Dept Stat & Operat Res, Barcelona, Catalonia, Spain
机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
Chen, Zhiping
Liu, Jia
论文数: 0引用数: 0
h-index: 0
机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
Liu, Jia
Li, Gang
论文数: 0引用数: 0
h-index: 0
机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
Li, Gang
Yan, Zhe
论文数: 0引用数: 0
h-index: 0
机构:
Xi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R ChinaXi An Jiao Tong Univ, Sch Math & Stat, Dept Comp Sci, Xian, Shaanxi, Peoples R China
机构:
Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R ChinaLanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China
Li, Yongwu
Li, Zhongfei
论文数: 0引用数: 0
h-index: 0
机构:
Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou 510275, Guangdong, Peoples R China
Sun Yat Sen Univ, Sun Yatsen Business Sch, Guangzhou 510275, Guangdong, Peoples R ChinaLanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China
机构:
Univ Rey Juan Carlos, Area Stat & Operat Res, URJC, Mostoles, Madrid, SpainUniv Politecn Cataluna, Dept Stat & Operat Res, Barcelona, Catalonia, Spain