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Decomposability and time consistency of risk averse multistage programs

Kerem Ugurlu(kugurlu***at***usc.edu)
Alexander Shapiro(as50***at***gatech.edu)

Abstract: Two approaches to time consistency of risk averse multistage stochastic problems were dis- cussed in the recent literature. In one approach certain properties of the corresponding risk measure are postulated which imply its decomposability. The other approach deals directly with conditional optimality of solutions of the considered problem. The aim of this paper is to discuss a relation between these two approaches.

Keywords: Stochastic programming, coherent risk measures, time consistency.

Category 1: Stochastic Programming


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Entry Submitted: 06/15/2016
Entry Accepted: 06/15/2016
Entry Last Modified: 06/15/2016

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