Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

Alexander Shapiro

European Journal of Operational Research, 2021, vol. 288, issue 1, 1-13

Abstract: In this tutorial we discuss several aspects of modeling and solving multistage stochastic programming problems. In particular we discuss distributionally robust and risk averse approaches to multistage stochastic programming, and the involved concept of time consistency. This tutorial is aimed at presenting a certain point of view on multistage stochastic optimization, rather than a complete survey of the topic.

Keywords: Stochastic programming; Distributional robustness; Dynamic equations (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:288:y:2021:i:1:p:1-13

DOI: 10.1016/j.ejor.2020.03.065

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