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Title of Journal: Math Program

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Abbravation: Mathematical Programming

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Springer Berlin Heidelberg

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DOI

10.1016/0550-3213(78)90047-0

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1436-4646

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Timeconsistent approximations of riskaverse mult

Authors: Tsvetan Asamov Andrzej Ruszczyński
Publish Date: 2014/09/13
Volume: 153, Issue: 2, Pages: 459-493
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Abstract

In this paper we study the concept of time consistency as it relates to multistage riskaverse stochastic optimization problems on finite scenario trees We use dynamic timeconsistent formulations to approximate problems having a single coherent risk measure applied to the aggregated costs over all time periods The dual representation of coherent risk measures is used to create a timeconsistent cutting plane algorithm Additionally we also develop methods for the construction of universal timeconsistent upper bounds when the objective function is the meansemideviation measure of risk Our numerical results indicate that the resulting dynamic formulations yield close approximations to the original problem

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