Interchangeability principle and dynamic equations in risk averse stochastic programming

DOI10.1016/j.orl.2017.05.008zbMath1409.90125OpenAlexW2621981927WikidataQ97719576 ScholiaQ97719576MaRDI QIDQ1728267

Alexander Shapiro

Publication date: 22 February 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2017.05.008

zbMATH Keywords

dynamic equationsstrict monotonicityconvex risk measurestime consistencyinterchangeability principletwo and multistage stochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (12)

Dynamic Risked Equilibrium ⋮ Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures ⋮ Martingale characterizations of risk-averse stochastic optimization problems ⋮ Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping ⋮ Unnamed Item ⋮ Technical Note—Time Inconsistency of Optimal Policies of Distributionally Robust Inventory Models ⋮ Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming ⋮ Time (in)consistency of multistage distributionally robust inventory models with moment constraints ⋮ Minimization interchange theorem on posets ⋮ Distributionally robust modeling of optimal control ⋮ Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse ⋮ Mathematical Foundations of Distributionally Robust Multistage Optimization

Cites Work

• Decomposability and time consistency of risk averse multistage programs
• Variational Analysis
• Optimization of Convex Risk Functions
• Unnamed Item

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