Jingnan Fan

Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems

  • Jingnan Fan
  • Andrzej Ruszczyński
    • Categories Dynamic Programming, Stochastic Programming

    For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main features are that they measure risk of processes that are functions of the history of the base process. We introduce a new concept of conditional stochastic time consistency and we derive the structure of process-based … Read more

    Multilevel Optimization Modeling for Risk-Averse Stochastic Programming

  • Jonathan Eckstein
  • Jingnan Fan
  • Deniz Eskandani
    • Categories Stochastic Programming Tags , , ,

    Coherent risk measures have become a popular tool for incorporating risk aversion into stochastic optimization models. For dynamic models in which uncertainty is resolved at more than one stage, however, using coherent risk measures within a standard single-level optimization framework becomes problematic. To avoid severe time-consistency difficulties, the current state of the art is to … Read more