Interchangeability principle and dynamic equations in risk averse stochastic programming
Interchangeability principle and dynamic equations in risk averse stochastic programming
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DOI：
10.1016/j.orl.2017.05.008
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发表时间：
2017-07-01
影响因子：
1.1
通讯作者：
Shapiro, Alexander
中科院分区：
文献类型：
--
作者：
Shapiro, Alexander
本文研究了具有单调风险泛函的极小化算子的可积性。特别是我们讨论的风险泛函的严格单调性的作用。我们还讨论了风险厌恶的多阶段随机规划问题的动态规划方程的解决方案的影响。(C)2017爱思唯尔B.V.保留所有权利。
In this paper we consider interchangeability of the minimization operator with monotone risk functionals. In particular we discuss the role of strict monotonicity of the risk functionals. We also discuss implications to solutions of dynamic programming equations of risk averse multistage stochastic programming problems. (C) 2017 Elsevier B.V. All rights reserved.