Decomposability and time consistency of risk averse multistage programs
Seminar by Kerem Uğurlu Department of Industrial Engineering , Bilkent University
Abstract:
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the corresponding risk measure are postulated which imply its decomposability. The other approach deals directly with conditional optimality of solutions of the considered problem. The aim of this talk is to discuss a relation between these two approaches and discuss some open questions related to it. Part of the talk is joint work with Alexander Shapiro.
