Scenario decomposition of risk-averse multistage stochastic programming problems

  • Ricardo A. Collado
  • Dávid Papp
  • Andrzej Ruszczyński
    • Categories Stochastic Programming Tags , , , Short URL: https://optimization-online.org/?p=11245

    For a risk-averse multistage stochastic optimization problem with a finite scenario tree, we introduce a new scenario decomposition method and we prove its convergence. The method is applied to a risk-averse inventory and assembly problem. In addition, we develop a partially regularized bundle method for nonsmooth optimization.

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    RUTCOR, Rutgers University, Piscataway, NJ 08854

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