Risk minimization, regret minimization and progressive hedging algorithms

QR Code

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...

Full description

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

Similar Items

A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
by: Sun, Jie, et al.
Published: (2020)

Two-stage quadratic games under uncertainty and their solution by progressive hedging algorithms
by: Zhang, M., et al.
Published: (2019)

A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms
by: Zhang, M., et al.
Published: (2020)

The Elicited Progressive Decoupling Algorithm: A Note on the Rate of Convergence and a Preliminary Numerical Experiment on the Choice of Parameters
by: Sun, Jie, et al.
Published: (2021)

A Novel Euler’s Elastica-Based Segmentation Approach for Noisy Images Using the Progressive Hedging Algorithm
by: Tan, Lu, et al.
Published: (2020)

Solving Lagrangian variational inequalities with applications to stochastic programming
by: Rockafellar, R.T., et al.
Published: (2020)

Moral encounters in tourism: the role of regret
by: Jiang, Fenfen
Published: (2025)

Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design
by: Jiang, Xiaoping, et al.
Published: (2020)

A Stochastic Variational Inequality Approach to the Nash Equilibrium Model of a Manufacturer-Supplier Game under Uncertainty
by: Lu, Yuan, et al.
Published: (2022)

A Distributionally Robust Approach to a Class of Three-Stage Stochastic Linear Programs
by: Li, Bin, et al.
Published: (2019)

Anticipated regret and organ donor registration: a randomised controlled trial
by: O'Carroll, Ronan E., et al.
Published: (2016)

Using Pattern Search Methods for Minimizing Clustering Problems
by: Shabanzadeh, Parvaneh, et al.
Published: (2010)

Fuel Minimizing Control for Constrained Relative Satellite Orbits
by: Gao, X., et al.
Published: (2010)

An Algorithm for Convex Quadratic Programming That Requires O(n3.5L) Arithmetic Operations
by: Mehrotra, S., et al.
Published: (1990)

Robust Stochastic Optimization With Convex Risk Measures: A Discretized Subgradient Scheme
by: Yu, H., et al.
Published: (2021)

Constructivism to minimal art: from revolution via evolution
by: Gubbins, Pete
Published: (2016)

Generalized stationary points and an interior-point method for mathematical programs with equilibrium constraints
by: Liu, X., et al.
Published: (2004)

A Study on Hedge Funs as An Investment Strategy for Investors: A Qualitative Approach
by: Jadgev, Simran
Published: (2006)

Cross - Currency Hedging Using Options
by: Suri, Akshay
Published: (2006)

Optimal control of hybrid manufacturing systems by log-exponential smoothing aggregation
by: Mashaba, Kobamelo, et al.
Published: (2020)

A robust primal-dual interior-point algorithm for nonlinear programs
by: Liu, X., et al.
Published: (2004)

Cvar-Based Robust Models For Portfolio Selection
by: Sun, Y., et al.
Published: (2020)

Efficient minimal preference change
by: Alechina, Natasha, et al.
Published: (2015)

A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
by: Yu, H., et al.
Published: (2021)

Hedge Funds & Their Impact on the Indian Capital Market
by: Tibrewal, Saket
Published: (2008)

Hedging the risk of oil
by: Tong, Man Chi
Published: (2006)

Minimizing control variation in nonlinear optimal control
by: Loxton, Ryan, et al.
Published: (2013)

Minimizing control volatility for nonlinear systems with smooth piecewise-quadratic input signals
by: Loxton, Ryan, et al.
Published: (2020)

A Study on the Performance and Risk-Return Characteristics of Hedge Funds
by: Guleria, Arjun
Published: (2008)

The factors of corporate hedging using financial derivatives: Why French non-financial companies hedge?
by: Tosun, Melek
Published: (2019)

Second-order cone reformulation and the price of anarchy of a robust nash-cournot game
by: Han, D., et al.
Published: (2010)

A federated usage control framework with ontology-based policy and elimination of irrelevant rules set algorithm for grid computing authorization
by: Maizura, Ibrahim
Published: (2019)

Globalization of Barzilai and Borwein Method for Unconstrained Optimization
by: Farid, Mahboubeh
Published: (2009)

Crossover and mutation operators of real coded genetic algorithms for global optimization problems
by: Lim, Siew Mooi
Published: (2016)

The readiness of China towards an economic phenomenon: A hedge fund industry perspective
by: Wang, Junyi
Published: (2007)

Impact of derivative hedging on audit fees in Malaysia
by: Yan, Andy Rong En
Published: (2022)

Ant system with heuristics for capacitated vehicle routing problem
by: Tan, Wen Fang
Published: (2013)

Minimizing equipment shutdowns in oil and gas campaign maintenance
by: Seif, Z., et al.
Published: (2021)

Empirical analysis and optimization of capital structure adjustment
by: Ma, J., et al.
Published: (2020)

Stock Index Futures and Hedging Performance: Evidence from Developed and Emerging Markets
by: Zhang, Shu
Published: (2007)

Cannot write session to /tmp/vufind_sessions/sess_1vt52n3bh4bgtodc83lrp7saks