Mehran Poursoltani

Risk-averse Regret Minimization in Multi-stage Stochastic Programs

  • Mehran Poursoltani
  • Erick Delage
  • Angelos Georghiou
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , ,

    Within the context of optimization under uncertainty, a well-known alternative to minimizing expected value or the worst-case scenario consists in minimizing regret. In a multi-stage stochastic programming setting with a discrete probability distribution, we explore the idea of risk-averse regret minimization, where the benchmark policy can only benefit from foreseeing Delta steps into the future. … Read more

    Adjustable Robust Optimization Reformulations of Two-Stage Worst-case Regret Minimization Problems

  • Erick Delage
  • Mehran Poursoltani
    • Categories Applications - OR and Management Sciences, Linear Programming, Robust Optimization Tags , , ,

    This paper explores the idea that two-stage worst-case regret minimization problems with either objective or right-hand side uncertainty can be reformulated as two-stage robust optimization problems and can therefore benefit from the solution schemes and theoretical knowledge that have been developed in the last decade for this class of problems. In particular, we identify conditions … Read more