| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/j.ejor.2015.02.033 |
| Time-inconsistent multistage stochastic programs: Martingale bounds. | |
| Pflug GC; Pichler A | |
| 发表日期 | 2016 |
| 出处 | European Journal of Operational Research 249 (1): 155-163 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Multistage stochastic programs show time-inconsistency in general, if the objective is neither the expectation nor the maximum functional. This paper considers distortion risk measures (in particular the Average Value-at-Risk) at the final stage of a multistage stochastic program. Such problems are not time consistent. However, it is shown that by considering risk parameters at random level and by extending the state space appropriately, the value function corresponding to the optimal decisions evolves as a martingale and a dynamic programming principle is applicable. In this setup the risk profile has to be accepted to vary over time and to be adapted dynamically. Further, a verification theorem is provided, which characterizes optimal decisions by sub- and supermartingales. These enveloping martingales constitute a lower and an upper bound of the optimal value function. The basis of the analysis is a new decomposition theorem for the Average Value-at-Risk, which is given in a time consistent formulation. |
| 主题 | Risk, Policy and Vulnerability (RPV) ; Risk & ; Resilience (RISK) |
| 关键词 | Stochastic optimization risk measure Average Value-at-Risk dynamic programming time consistency |
| URL | http://pure.iiasa.ac.at/id/eprint/11723/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130740 |
| 推荐引用方式 GB/T 7714 | Pflug GC,Pichler A. Time-inconsistent multistage stochastic programs: Martingale bounds.. 2016. |
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