nested distance – Optimization Online

Data-driven Multistage Distributionally Robust Optimization with Nested Distance: Time Consistency and Tractable Dynamic Reformulations

Published: 2022/10/15

We study multistage distributionally robust optimization in which the uncertainty set consists of stochastic processes that are close to a scenario tree in the nested distance (Pflug and Pichler (2012)). Compared to other choices such as Wasserstein distance between stochastic processes, the nested distance accounts for information evolution, making it hedge against a plausible family … Read more

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

Published: 2019/04/09

Dynamic Programming, Stochastic Programming distributionally robust optimization, dynamic programming, model ambiguity, multiscale stochastic optimization, multistage stochastic optimization, nested distance, wasserstein distance

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