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arXiv · 1806.01497

Decomposability and time consistency of risk averse multistage programs

Alexander Shapiro·Kerem Ugurlu
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Abstract

Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding risk measure are postulated which imply its decomposability. The other approach deals directly with conditional optimality of solutions of the considered problem. The aim of this paper is to discuss a relation between these two approaches.

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Alexander Shapiro, Kerem Ugurlu. 2018-06-05. Decomposability and time consistency of risk averse multistage programs. https://arxiv.org/abs/1806.01497

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