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Interchangeability principle and dynamic equations in risk averse stochastic programming

Alexander Shapiro(ashapiro***at***isye.gatech.edu)

Abstract: In this paper we consider interchangeability of the minimization operator with monotone risk functionals. In particular we discuss the role of strict monotonicity of the risk functionals. We also discuss implications to solutions of dynamic programming equations of risk averse multistage stochastic programming problems.

Keywords: Interchangeability principle, strict monotonicity, convex risk measures, two and multistage stochastic programming, dynamic equations, time consistency

Category 1: Stochastic Programming


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Entry Submitted: 04/28/2017
Entry Accepted: 04/28/2017
Entry Last Modified: 04/28/2017

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