Worst-case-expectation approach to optimization under uncertainty

In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation were the data process can be naturally separated into two components, one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst case) point … Read more

Time consistency of dynamic risk measures

In this paper we discuss time consistency of risk averse multistage stochastic programming problems. We show, in a framework of finite scenario trees, that composition of law invariant coherent risk measures can be law invariant only for the expectation or max-risk measures. Citation Preprint Article Download View Time consistency of dynamic risk measures

Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous … Read more

Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous … Read more

On a time consistency concept in risk averse multi-stage stochastic programming

In this paper we discuss time consistency of multi-stage risk averse stochastic programming problems. We approach the concept of time consistency from an optimization point of view. That is, at each state of the system optimality of a decision policy should not involve states which cannot happen in the future. We also discuss a relation … Read more