strict monotonicity – Optimization Online

Conditional Distributionally Robust Functionals

Published: 2022/05/19, Updated: 2022/11/04

Stochastic Programming conditional risk measures, distributional robustness, rectangularity, strict monotonicity, wasserstein distance

Risk measures incorporate a conservative or risk averse perspective in decisionmaking under uncertainty. Taking a variety of models for the potential outcomes into account, the distributionally robust decision is the most conservative decision among the decisions available. This paper investigates different versions of conditional risk measures and distributionally robust functionals in a multistage setting. The … Read more

Interchangeability principle and dynamic equations in risk averse stochastic programming

Published: 2017/04/28

Alexander Shapiro

Stochastic Programming convex risk measures, dynamic equations, interchangeability principle, strict monotonicity, time consistency, two and multistage stochastic programming

In this paper we consider interchangeability of the minimization operator with monotone risk functionals. In particular we discuss the role of strict monotonicity of the risk functionals. We also discuss implications to solutions of dynamic programming equations of risk averse multistage stochastic programming problems. Article Download View Interchangeability principle and dynamic equations in risk averse … Read more