On a time consistency concept in risk averse multistage stochastic programming

Authors:
Alexander Shapiro
Affiliations:
School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332-0205, USA
Venue:
Operations Research Letters
Year:
2009

Citing 3
Cited 1

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SIAM Journal on Optimization
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Conditional Risk Mappings

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Abstract

We discuss time consistency of multistage risk averse stochastic programming problems. The concept of time consistency is approached from an optimization point of view. That is, at each state of the system optimality of a decision policy should not involve states which cannot happen in the future.