Risk minimization, regret minimization and progressive hedging algorithms

Risk minimization, regret minimization and progressive hedging algorithms

This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship between risk envelopes and regret envelopes is established by using the Lagrangian duality theory. Such a relationship open...

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Bibliographic Details
Main Authors: Sun, Jie, Yang, X., Yao, Q., Zhang, M.
Format: Journal Article
Language:English
Published: SPRINGER HEIDELBERG 2020
Subjects:
Science & Technology
Technology
Physical Sciences
Computer Science, Software Engineering
Operations Research & Management Science
Mathematics, Applied
Computer Science
Mathematics
Progressive hedging algorithm
Regret minimization
Risk measures
Stochastic optimization
Online Access:http://purl.org/au-research/grants/arc/DP160102819
http://hdl.handle.net/20.500.11937/91434

Internet

http://purl.org/au-research/grants/arc/DP160102819
http://hdl.handle.net/20.500.11937/91434

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