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