A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms
Stochastic optimization models based on risk-averse measures are of essential importance in financial management and business operations. This paper studies new algorithms for a popular class of these models, namely, the mean-deviation models in multistage decision making under uncertainty. It is ar...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Language: | English |
| Published: |
WORLD SCIENTIFIC PUBL CO PTE LTD
2020
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| Subjects: | |
| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/91431 |
| _version_ | 1848765518749630464 |
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| author | Zhang, M. Hou, L. Sun, Jie Yan, A. |
| author_facet | Zhang, M. Hou, L. Sun, Jie Yan, A. |
| author_sort | Zhang, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Stochastic optimization models based on risk-averse measures are of essential importance in financial management and business operations. This paper studies new algorithms for a popular class of these models, namely, the mean-deviation models in multistage decision making under uncertainty. It is argued that these types of problems enjoy a scenario-decomposable structure, which could be utilized in an efficient progressive hedging procedure. In case that linkage constraints arise in reformulations of the original problem, a Lagrange progressive hedging algorithm could be utilized to solve the reformulated problem. Convergence results of the algorithms are obtained based on the recent development of the Lagrangian form of stochastic variational inequalities. Numerical results are provided to show the effectiveness of the proposed algorithms. |
| first_indexed | 2025-11-14T11:36:32Z |
| format | Journal Article |
| id | curtin-20.500.11937-91431 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:36:32Z |
| publishDate | 2020 |
| publisher | WORLD SCIENTIFIC PUBL CO PTE LTD |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-914312024-04-11T03:40:15Z A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms Zhang, M. Hou, L. Sun, Jie Yan, A. Science & Technology Technology Operations Research & Management Science Progressive hedging algorithm risk-aversion stochastic optimization Stochastic optimization models based on risk-averse measures are of essential importance in financial management and business operations. This paper studies new algorithms for a popular class of these models, namely, the mean-deviation models in multistage decision making under uncertainty. It is argued that these types of problems enjoy a scenario-decomposable structure, which could be utilized in an efficient progressive hedging procedure. In case that linkage constraints arise in reformulations of the original problem, a Lagrange progressive hedging algorithm could be utilized to solve the reformulated problem. Convergence results of the algorithms are obtained based on the recent development of the Lagrangian form of stochastic variational inequalities. Numerical results are provided to show the effectiveness of the proposed algorithms. 2020 Journal Article http://hdl.handle.net/20.500.11937/91431 10.1142/S0217595920400047 English http://purl.org/au-research/grants/arc/DP160102819 WORLD SCIENTIFIC PUBL CO PTE LTD fulltext |
| spellingShingle | Science & Technology Technology Operations Research & Management Science Progressive hedging algorithm risk-aversion stochastic optimization Zhang, M. Hou, L. Sun, Jie Yan, A. A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms |
| title | A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms |
| title_full | A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms |
| title_fullStr | A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms |
| title_full_unstemmed | A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms |
| title_short | A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms |
| title_sort | model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms |
| topic | Science & Technology Technology Operations Research & Management Science Progressive hedging algorithm risk-aversion stochastic optimization |
| url | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/91431 |