two and multistage stochastic programming

Interchangeability principle and dynamic equations in risk averse stochastic programming

Published: 2017/04/28

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

Stochastic Programming Approach to Optimization under Uncertainty

Published: 2006/01/31, Updated: 2006/06/06

Alexander Shapiro

Stochastic Programming coherent risk measures, complexity, conditional risk mappings, dynamic programming, monte carlo sampling, sample average approximation method, two and multistage stochastic programming

In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic programming problems can be solved with a reasonable accuracy by Monte Carlo sampling techniques while there are indications that complexity of multistage programs grows fast with increase of the … Read more