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Vol. 49 No. 1–3 (2023)
Serdica Mathematical Journal

Articles

Relations between risk-averse models in extended two-stage stochastic optimization

https://doi.org/10.55630/serdica.2023.49.49-76

Published 20-11-2023

  • Darinka Dentcheva

Darinka Dentcheva
Stevens Institute of Technology, USA

Abstract

We consider an extended two-stage risk-averse stochastic optimization problems in several formulations. Risk-aversion is reflected by risk constraints in form of stochastic-order relations, which are imposed in a time-consistent manner. The problem is analyzed under convexity assumptions. The main goal of this study is to establishing relations between the extended two-stage problem with stochastic-order constraints on the recourse function on the one hand and the two-stage problems with alternative models of risk such as utility functions, distortions, or coherent measures of risk on the other hand.

2020 Mathematics Subject Classification:

90C15, 90C25, 91B05, 91B16

Keywords

stochastic dominance, coherent measures of risk, dual utility, distortions, stochastic programming

Full text

Author Details

Darinka Dentcheva

Stevens Institute of Technology
Hoboken, NJ, USA
e-mail: darinka.dentcheva@stevens.edu

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