nested distance

Data-driven Multistage Distributionally Robust Linear Optimization with Nested Distance

  • Rui Gao
    • Categories Dynamic Programming, Robust Optimization, Stochastic Programming Tags , , ,

    We study multistage distributionally robust linear optimization, where the uncertainty set is defined as a ball of distribution centered at a scenario tree using the nested distance. The resulting minimax problem is notoriously difficult to solve due to its inherent non-convexity. In this paper, we demonstrate that, under mild conditions, the robust risk evaluation of … Read more

    Distributionally robust optimization with multiple time scales: valuation of a thermal power plant

  • Daniela Escobar
  • Martin Glanzer
  • Georg Ch. Pflug
  • Wim van Ackooij
    • Categories Dynamic Programming, Stochastic Programming Tags , , , , , ,

    The valuation of a real option is preferably done with the inclusion of uncertainties in the model, since the value depends on future costs and revenues, which are not perfectly known today. The usual value of the option is defined as the maximal expected (discounted) profit one may achieve under optimal management of the operation. … Read more