0493316 20240103220455.420180914235959.9 4 s. C cav_un_epca*0493555978-80-7378-371-6551-554PrahaMatfyzPress2018VáchováLucieKratochvílVáclav Multi-stage stochastic programming deterministic equivalent multi-period CVaR nested CVaR optimization algorithm cav_un_auth*0101206 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Šmíd Martin UTIA-B A Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0363894 Ekonometrie Department of Econometrics E E 50 Kozmík Václav UTIA-B CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2018/E/smid-0493316.pdf GA16-01298S GA ČR CZ cav_un_auth*0341139 Many real-life applications lead to risk-averse multi-stage stochastic problems, therefore effective solution of these problems is of great importance. Many tools can be used to their solution (GAMS, Coin-OR, APML or, for smaller problems, Excel), it is, however, mostly up to researcher to reformulate the problem into its deterministic equivalent. Moreover, such solutions are usually one-time, not easy to modify for different applications. We overcome these problems by providing a front-end software package, written in C++, which enables to enter problem definitions in a way close to their mathematical definition. Creating of a deterministic equivalent (and its solution) is up to the computer. In particular, our code is able to solve linear multi-stage with Multi-period Mean-CVaR or Nested Mean-CVaR criteria. In the present paper, we describe the algorithms, transforming these problems into their deterministic equivalents. cav_un_auth*0363994 36th International Conference Mathematical Methods in Economics 20180912 Jindřichův Hradec CZ 20180914 AH 50000 50200 50201 2019 2 PR RVO:67985556 http://hdl.handle.net/11104/0286991 S 2018 978-80-7378-372-3 SCOPUS PUBMED WOS cav_un_epca*0493555 36th International Conference Mathematical Methods in Economics MatfyzPress 2018 Praha 551 554 978-80-7378-371-6 340 Váchová Lucie 340 Kratochvíl Václav