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2011-11-28Buch DOI: 10.18452/8419
Multistage Optimization
dc.contributor.authorPflug, Georg Ch.
dc.contributor.authorPichler, Alois
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:25:19Z
dc.date.available2017-06-16T20:25:19Z
dc.date.created2011-11-28
dc.date.issued2011-11-28
dc.date.submitted2011-11-25
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9071
dc.description.abstractWe provide a new identity for the multistage Average Value-at-Risk. The identity is based on the conditional Average Value-at-Risk at random level, which is introduced. It is of interest in situations, where the information available increases over time, so it is – among other applications – customized to multistage optimization. The identity relates to dynamic programming and is adapted to problemswhich involve the Average Value-at-Risk in its objective. We elaborate further dynamic programming equations for specific multistage optimization problems and derive a characterizing martingale property for the value function. The concept solves a particular aspect of time consistency and is adapted for situations, wheredecisions are planned and executed consecutively in subsequent instants of time. We discuss theapproach for other risk measures, which are in frequent use for decision making under uncertainty,particularly for financial decisions.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.relation.ispartofseriesStochastic Programming E-Print Series - 3, SPEPS
dc.subjecttime consistencyeng
dc.subjectrisk measureeng
dc.subjectdynamic programmingeng
dc.subjectstochastic optimizationeng
dc.subjectAverage Value-at-Riskeng
dc.subject.ddc510 Mathematik
dc.titleMultistage Optimization
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100196802
dc.identifier.doihttp://dx.doi.org/10.18452/8419
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages22
local.z-edoc.journal-periodikumAusgabe3,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue3
local.edoc.container-erstkatid2936317-2

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