Scenario decomposition of risk-averse multistage stochastic programming problems

作者：Collado Ricardo A; Papp David; Ruszczynski Andrzej^*

来源：Annals of Operations Research, 2012, 200(1): 147-170.

DOI：10.1007/s10479-011-0935-y

• Dynamic measures of risk
• Duality
• Decomposition
• Bundle methods

For a risk-averse multistage stochastic optimization problem with a finite scenario tree, we introduce a new scenario decomposition method and we prove its convergence. The main idea of the method is to construct a family of risk-neutral approximations of the problem. The method is applied to a risk-averse inventory and assembly problem. In addition, we develop a partially regularized bundle method for nonsmooth optimization.

• 出版日期2012-11