| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0493316 |
| utime |
20240103220455.4 |
| mtime |
20180914235959.9 |
| title
(primary) (eng) |
Two Algorithms for Risk-averse Reformulation of Multi-stage Stochastic Programming Problems |
| specification |
| page_count |
4 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0493555 |
| ISBN |
978-80-7378-371-6 |
| title
|
36th International Conference Mathematical Methods in Economics |
| page_num |
551-554 |
| publisher |
| place |
Praha |
| name |
MatfyzPress |
| year |
2018 |
|
| editor |
| name1 |
Váchová |
| name2 |
Lucie |
|
| editor |
| name1 |
Kratochvíl |
| name2 |
Václav |
|
|
| keyword |
Multi-stage stochastic programming |
| keyword |
deterministic equivalent |
| keyword |
multi-period CVaR |
| keyword |
nested CVaR |
| keyword |
optimization algorithm |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| garant |
A |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0363894 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| share |
50 |
| name1 |
Kozmík |
| name2 |
Václav |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA16-01298S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0341139 |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0363994 |
| name |
36th International Conference Mathematical Methods in Economics |
| dates |
20180912 |
| place |
Jindřichův Hradec |
| country |
CZ |
| mrcbC20-s |
20180914 |
|
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2019 |
| num_of_auth |
2 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0286991 |
| confidential |
S |
| arlyear |
2018 |
| mrcbU12 |
978-80-7378-372-3 |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
WOS |
| mrcbU63 |
cav_un_epca*0493555 36th International Conference Mathematical Methods in Economics MatfyzPress 2018 Praha 551 554 978-80-7378-371-6 |
| mrcbU67 |
340 Váchová Lucie |
| mrcbU67 |
340 Kratochvíl Václav |
|