Minimax and risk averse multistage stochastic programming
Alexander Shapiro ()
European Journal of Operational Research, 2012, vol. 219, issue 3, 719-726
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. Finally, we discuss a minimax approach with moment constraints to the classical inventory model.
Keywords: Stochastic programming; Dynamic equations; Robust optimization; Coherent risk measures; Risk averse stochastic optimization; Problem of moments (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:219:y:2012:i:3:p:719-726
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