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

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  • Shapiro, Alexander

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 on multistage stochastic optimization, rather than a complete survey of the topic.

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  • Shapiro, Alexander, 2021. "Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 288(1), pages 1-13.
    • Handle: RePEc:eee:ejores:v:288:y:2021:i:1:p:1-13
    DOI: 10.1016/j.ejor.2020.03.065
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    References listed on IDEAS

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    Cited by:

    1. Cao, Yiyin & Dang, Chuangyin & Xiao, Zhongdong, 2022. "A differentiable path-following method to compute subgame perfect equilibria in stationary strategies in robust stochastic games and its applications," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1032-1050.
    2. Saldanha-da-Gama, Francisco, 2022. "Facility Location in Logistics and Transportation: An enduring relationship," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 166(C).
    3. Daido Kido, 2022. "Distributionally Robust Policy Learning with Wasserstein Distance," Papers 2205.04637, arXiv.org, revised Aug 2022.
    4. Arrigo, Adriano & Ordoudis, Christos & Kazempour, Jalal & De Grève, Zacharie & Toubeau, Jean-François & Vallée, François, 2022. "Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: An exact and physically-bounded formulation," European Journal of Operational Research, Elsevier, vol. 296(1), pages 304-322.
    5. Park, Jangho & Bayraksan, Güzin, 2023. "A multistage distributionally robust optimization approach to water allocation under climate uncertainty," European Journal of Operational Research, Elsevier, vol. 306(2), pages 849-871.

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