dynamic measures of risk

Bounds for Multistage Mixed-Integer Distributionally Robust Optimization

  • Güzin Bayraksan
  • Francesca Maggioni
  • Daniel Faccini
  • Ming Yang
    • Categories Robust Optimization, Stochastic Programming Tags , , , ,

    Multistage mixed-integer distributionally robust optimization (DRO) forms a class of extremely challenging problems since their size grows exponentially with the number of stages. One way to model the uncertainty in multistage DRO is by creating sets of conditional distributions (the so-called conditional ambiguity sets) on a finite scenario tree and requiring that such distributions remain … Read more

    Scenario decomposition of risk-averse multistage stochastic programming problems

  • Ricardo A. Collado
  • Dávid Papp
  • Andrzej Ruszczyński
    • Categories Stochastic Programming Tags , , ,

    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. CitationRUTCOR, Rutgers University, Piscataway, NJ 08854ArticleDownload View PDF