Decomposability and time consistency of risk averse multistage programs

Autor:	Shapiro, Alexander, Ugurlu, Kerem
Rok vydání:	2018
Předmět:	Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding 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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1806.01497 Zobrazit plný text záznamu View this record from Arxiv