risk averse stochastic optimization

A Multicut Approach to Compute Upper Bounds for Risk-Averse SDDP

  • Joaquim Dias Garcia
  • Mario Pereira
    • Categories Dynamic Programming, Energy, Stochastic Programming Tags , , , ,

    Stochastic Dual Dynamic Programming (SDDP) is a widely used and fundamental algorithm for solving multistage stochastic optimization problems. Although SDDP has been frequently applied to solve risk-averse models with the Conditional Value-at-Risk (CVaR), it is known that the estimation of upper bounds is a methodological challenge, and many methods are computationally intensive. In practice, this … Read more

    Minimax and risk averse multistage stochastic programming

  • Alexander Shapiro
    • Categories Dynamic Programming, Robust Optimization, Stochastic Programming Tags , , , , , ,

    In this paper we study relations between the minimax, risk averse and nested formulations of multistage stochastic programming problems. In particular, we discuss conditions for time consistency of such formulations of stochastic problems. We also describe a connection between law invariant coherent risk measures and the corresponding sets of probability measures in their dual representation. … Read more