TY - GEN
TI - Two Algorithms for Risk-averse Reformulation of Multi-stage Stochastic Programming Problems
T3 - 36th International Conference Mathematical Methods in Economics
AU - Šmíd, Martin
AB - 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.
SN - 978-80-7378-371-6
UR - http://www.nusl.cz/ntk/nusl-386543
UR - http://hdl.handle.net/11104/0286991
A2 - Kozmík, Václav
LA - eng
KW - Multi-stage stochastic programming
KW - deterministic equivalent
KW - optimization algorithm
KW - multi-period CVaR
KW - nested CVaR
PY - 2018
PB - Ústav teorie informace a automatizace, Pod vodárenskou věží 4, 182 08 Praha 8, http://www.utia.cas.cz/
ER -