Distributionally Risk-Receptive and Robust Multistage Stochastic Integer Programs and Two-player Interdiction Games with(out) Decision-Dependent Uncertainty

In this paper, we study distributionally risk-receptive and distributionally robust (or risk-averse) multistage stochastic mixed-integer programs (denoted by DRR- and DRA-MSIPs). These frameworks are useful for optimization problems under uncertainty where the focus is on analyzing outcomes based on multiple decision-makers’ differing perspectives, such as interdiction problems that are attacker-defender games having non-cooperative players. We … Read more