Original title: Two Algorithms for Risk-averse Reformulation of Multi-stage Stochastic Programming Problems
Authors: Šmíd, Martin ; Kozmík, Václav
Document type: Papers
Conference/Event: 36th International Conference Mathematical Methods in Economics, Jindřichův Hradec (CZ), 20180912
Year: 2018
Language: eng
Abstract: Many real-life applications lead to risk-averse multi-stage stochastic problems, therefore effective solution of these problems is of great importance. Many tools can be used to their solution (GAMS, Coin-OR, APML or, for smaller problems, Excel), it is, however, mostly up to researcher to reformulate the problem into its deterministic equivalent. Moreover, such solutions are usually one-time, not easy to modify for different applications. We overcome these problems by providing a front-end software package, written in C++, which enables to enter problem definitions in a way close to their mathematical definition. Creating of a deterministic equivalent (and its solution) is up to the computer. In particular, our code is able to solve linear multi-stage with Multi-period Mean-CVaR or Nested Mean-CVaR criteria. In the present paper, we describe the algorithms, transforming these problems into their deterministic equivalents.
Keywords: deterministic equivalent; multi-period CVaR; Multi-stage stochastic programming; nested CVaR; optimization algorithm
Project no.: GA16-01298S (CEP)
Funding provider: GA ČR
Host item entry: 36th International Conference Mathematical Methods in Economics, ISBN 978-80-7378-371-6

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2018/E/smid-0493316.pdf
Original record: http://hdl.handle.net/11104/0286991

Permalink: http://www.nusl.cz/ntk/nusl-386543


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