Rectangular Sets of Probability Measures

Alexander Shapiro ()
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Alexander Shapiro: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332

Operations Research, 2016, vol. 64, issue 2, 528-541

Abstract: In this paper we consider the notion of rectangularity of a set of probability measures from a somewhat different point of view. We define rectangularity as a property of dynamic decomposition of a distributionally robust stochastic optimization problem and show how it relates to the modern theory of coherent risk measures. Consequently, we discuss robust formulations of multistage stochastic optimization problems in frameworks of stochastic programming, stochastic optimal control, and Markov decision processes.

Keywords: multistage stochastic optimization; rectangularity; risk-averse optimization; robust optimal control and Markov decision processes; dynamic programming; coherent risk measures; time consistency (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (14)

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