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

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

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 of multistage stochastic programming, and can be viewed as sequential to the tutorial Shapiro and Philpott (2007).

Keywords: Multistage programs, decision rules, inventory model, distributional robustness, risk averse, time consistency, dynamic equations

Category 1: Stochastic Programming

Category 2: Robust Optimization

Citation: Technical report

Download: [PDF]

Entry Submitted: 02/05/2018
Entry Accepted: 02/05/2018
Entry Last Modified: 03/31/2018

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