Risk and Reliability in Stochastic Optimisation and Equilibrium

随机优化和均衡中的风险和可靠性

• 批准号: DP160102819
• 负责人: Em/Prof Jie Sun
• 金额: $ 27.82万
• 依托单位: Curtin University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2016
• 资助国家: 澳大利亚
• 起止时间: 2016-01-01 至 2019-08-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP160102819
• 关键词: Risk; Reliability; Stochastic; Optimisation; Equilibrium

This project seeks to develop theory and methodology in optimisation which take advantage of recent progress in understanding and treating risk in decision making. Problems of optimisation in the face of uncertainty must confront the risk inherent in having to make reliable decisions before knowing the outcomes of crucial random variables on which costs and constraints may depend. Recent theoretical developments, featuring ‘measures of risk’ beyond just-expected values and quantiles offer hope of major new advances. This project aims to achieve such advances not only in optimisation but also in models of equilibrium that likewise have to deal with uncertainty. Extending current theory and methodology to such multi-stage stochastic models is a challenge. Besides taking up this challenge for its own sake, a major goal of this research will be to use the results in solution algorithms.

该项目旨在开发优化的理论和方法，利用最近在理解和处理决策风险方面的进展。面对不确定性的优化问题必须面对固有的风险，即在知道成本和约束可能依赖的关键随机变量的结果之前必须做出可靠的决策。最近的理论发展，具有“风险的措施”超出刚刚预期的价值和分位数提供了重大的新进展的希望。该项目的目标不仅是在优化方面，而且在同样必须处理不确定性的平衡模型方面取得进展。将当前的理论和方法扩展到这种多阶段随机模型是一个挑战。除了接受这一挑战，为自己的缘故，这项研究的一个主要目标将是使用的解决方案算法的结果。