Descriptive
TitleInfo
(ID = T-1)
Title
Scenario decomposition of risk-averse stochastic optimization problems
Identifier
(type = hdl)
http://hdl.rutgers.edu/1782.1/rucore10001600001.ETD.000056283
Language
LanguageTerm
(authority = ISO639-2);
(type = code)
eng
Genre
(authority = marcgt)
theses
Subject
(ID = SBJ-1);
(authority = RUETD)
Topic
Operations Research
Subject
(ID = SBJ-2);
(authority = ETD-LCSH)
Topic
Stochastic programming
Subject
(ID = SBJ-3);
(authority = ETD-LCSH)
Topic
Decomposition (Mathematics)
Subject
(ID = SBJ-4);
(authority = ETD-LCSH)
Topic
Risk-return relationships
Abstract
(type = abstract)
In the last decade the theory of coherent risk measures established itself as an alternative to expected utility models of risk averse preferences in stochastic optimization. Recently, increased attention is paid to dynamic measures of risk, which allow for risk-averse evaluation of streams of costs or rewards. When used in stochastic optimization models, dynamic risk measures lead to a new class of problems, which are significantly more complex than their risk-neutral counterparts. Decomposition, an established and efficient approach to risk-neutral multistage stochastic optimization problems, cannot be directly applied to risk-averse models. With dynamic risk measures, the main feature facilitating decomposition, the integral form of the objective function, is absent. Our main objective is to overcome this difficulty by exploiting specific structure of dynamic risk measures, and to develop new decomposition methods that extend the ideas of earlier approaches to risk-neutral problems. In this work we develop generalizations of scenario decomposition methods, in the spirit of J.M. Mulvey and A. Ruszczynski, "A new scenario decomposition method for large-scale stochastic optimization'" Operations Research 43, 1995. The key to success is the use of dual properties of dynamic measures of risk to construct a family of risk-neutral approximations of the problem. First, we define and analyze a two-stage risk-averse stochastic optimization problem. Next, we develop methods to solve efficiently this problem. Later, we formally define a multistage risk-averse stochastic optimization problem and we discuss its properties. We also develop efficient methods to solve the multistage problem and apply these to an inventory planning and assembly problem. Finally, we analyze and compare the results of our computational experiments.
PhysicalDescription
Form
(authority = gmd)
electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Ricardo A. Collado Soto
Name
(ID = NAME-1);
(type = personal)
NamePart
(type = family)
Collado
NamePart
(type = given)
Ricardo
NamePart
(type = date)
1975-
Role
RoleTerm
(authority = RULIB)
author
DisplayForm
Ricardo Collado
Name
(ID = NAME-2);
(type = personal)
NamePart
(type = family)
Avi-Ithzak
NamePart
(type = given)
Benjamin
Role
RoleTerm
(authority = RULIB)
chair
Affiliation
Advisory Committee
DisplayForm
Benjamin Avi-Ithzak
Name
(ID = NAME-3);
(type = personal)
NamePart
(type = family)
Ruszczynski
NamePart
(type = given)
Andrzej
Role
RoleTerm
(authority = RULIB)
co-chair
Affiliation
Advisory Committee
DisplayForm
Andrzej Ruszczynski
Name
(ID = NAME-4);
(type = personal)
NamePart
(type = family)
Boros
NamePart
(type = given)
Endre
Role
RoleTerm
(authority = RULIB)
internal member
Affiliation
Advisory Committee
Name
(ID = NAME-5);
(type = personal)
NamePart
(type = family)
Jeong
NamePart
(type = given)
Myong
Role
RoleTerm
(authority = RULIB)
internal member
Affiliation
Advisory Committee
Name
(ID = NAME-6);
(type = personal)
NamePart
(type = family)
Dentcheva
NamePart
(type = given)
Darinka
Role
RoleTerm
(authority = RULIB)
outside member
Affiliation
Advisory Committee
DisplayForm
Darinka Dentcheva
Name
(ID = NAME-7);
(type = personal)
NamePart
(type = family)
Alizadeh
NamePart
(type = given)
Farid
Role
RoleTerm
(authority = RULIB)
outside member
Affiliation
Advisory Committee
DisplayForm
Farid Alizadeh
Name
(ID = NAME-8);
(type = personal)
NamePart
(type = family)
Eckstein
NamePart
(type = given)
Jonathan
Role
RoleTerm
(authority = RULIB)
outside member
Affiliation
Advisory Committee
DisplayForm
Jonathan Eckstein
Name
(ID = NAME-9);
(type = personal)
NamePart
(type = family)
Bayal-Gursoy
NamePart
(type = given)
Melike
Role
RoleTerm
(authority = RULIB)
outside member
Affiliation
Advisory Committee
DisplayForm
Melike Bayal-Gursoy
Name
(ID = NAME-1);
(type = corporate)
NamePart
Rutgers University
Role
RoleTerm
(authority = RULIB)
degree grantor
Name
(ID = NAME-2);
(type = corporate)
NamePart
Graduate School - New Brunswick
Role
RoleTerm
(authority = RULIB)
school
OriginInfo
DateCreated
(qualifier = exact)
2010
DateOther
(qualifier = exact);
(type = degree)
2010-10
Place
PlaceTerm
(type = code)
xx
RelatedItem
(type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
(type = RULIB)
ETD
RelatedItem
(type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier
(type = local)
rucore19991600001
Location
PhysicalLocation
(authority = marcorg);
(displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier
(type = doi)
doi:10.7282/T3H131TD
Genre
(authority = ExL-Esploro)
ETD doctoral
Back to the top