Two Algorithms for Risk-averse Reformulation of Multi-stage Stochastic Programming Problems

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F18%3A00493316" target="_blank" >RIV/67985556:_____/18:00493316 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Two Algorithms for Risk-averse Reformulation of Multi-stage Stochastic Programming Problems
Original language description
Many real-life applications lead to risk-averse multi-stage stochastic problems, therefore effective solution of these problems is of great importance. Many tools can be used to their solution (GAMS, Coin-OR, APML or, for smaller problems, Excel), it is, however, mostly up to researcher to reformulate the problem into its deterministic equivalent. Moreover, such solutions are usually one-time, not easy to modify for different applications. We overcome these problems by providing a front-end software package, written in C++, which enables to enter problem definitions in a way close to their mathematical definition. Creating of a deterministic equivalent (and its solution) is up to the computer. In particular, our code is able to solve linear multi-stage with Multi-period Mean-CVaR or Nested Mean-CVaR criteria. In the present paper, we describe the algorithms, transforming these problems into their deterministic equivalents.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-01298S" target="_blank" >GA16-01298S: Dynamic Decision-making of a Steel Producer under Emission Control</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
36th International Conference Mathematical Methods in Economics
ISBN
978-80-7378-371-6
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
551-554
Publisher name
MatfyzPress
Place of publication
Praha
Event location
Jindřichův Hradec
Event date
Sep 12, 2018
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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