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Annals of Operations Research

, Volume 200, Issue 1, pp 147–170 | Cite as

Scenario decomposition of risk-averse multistage stochastic programming problems

  • Ricardo A. Collado
  • Dávid Papp
  • Andrzej RuszczyńskiEmail author
Article

Abstract

For a risk-averse multistage stochastic optimization problem with a finite scenario tree, we introduce a new scenario decomposition method and we prove its convergence. The main idea of the method is to construct a family of risk-neutral approximations of the problem. The method is applied to a risk-averse inventory and assembly problem. In addition, we develop a partially regularized bundle method for nonsmooth optimization.

Keywords

Dynamic measures of risk Duality Decomposition Bundle methods 

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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  • Ricardo A. Collado
    • 1
  • Dávid Papp
    • 1
  • Andrzej Ruszczyński
    • 2
    Email author
  1. 1.RUTCORRutgers UniversityPiscatawayUSA
  2. 2.Department of Management Science and Information SystemsRutgers UniversityPiscatawayUSA

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