Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

Published: 2018/02/05, Updated: 2020/02/17

Robust Optimization, Stochastic Programming decision rules, distributional robustness, dynamic equations, inventory model, multistage programs, risk averse, time consistency Short URL: https://optimization-online.org/?p=15019

In this tutorial we discuss several aspects of modeling and solving multistage stochastic programming problems. In particular we discuss distributionally robust and risk averse approaches to multistage stochastic programming, and the involved concept of time consistency. This tutorial is aimed at presenting a certain point of view of multistage stochastic programming, and can be viewed as sequential to the tutorial Shapiro and Philpott (2007).

Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

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