Risk minimization, regret minimization and progressive hedging algorithms
dc.contributor.author | Sun, Jie | |
dc.contributor.author | Yang, X. | |
dc.contributor.author | Yao, Q. | |
dc.contributor.author | Zhang, M. | |
dc.date.accessioned | 2023-04-16T10:04:41Z | |
dc.date.available | 2023-04-16T10:04:41Z | |
dc.date.issued | 2020 | |
dc.identifier.citation | Sun, J. and Yang, X. and Yao, Q. and Zhang, M. 2020. Risk minimization, regret minimization and progressive hedging algorithms. Mathematical Programming. 181 (2): pp. 509-530. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/91434 | |
dc.identifier.doi | 10.1007/s10107-020-01471-8 | |
dc.description.abstract |
This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship between risk envelopes and regret envelopes is established by using the Lagrangian duality theory. Such a relationship opens a door to a decomposition scheme, called progressive hedging, for solving multistage risk minimization and regret minimization problems. In particular, the classical progressive hedging algorithm is modified in order to handle a new class of linkage constraints that arises from reformulations and other applications of risk and regret minimization problems. Numerical results are provided to show the efficiency of the progressive hedging algorithms. | |
dc.language | English | |
dc.publisher | SPRINGER HEIDELBERG | |
dc.relation.sponsoredby | http://purl.org/au-research/grants/arc/DP160102819 | |
dc.subject | Science & Technology | |
dc.subject | Technology | |
dc.subject | Physical Sciences | |
dc.subject | Computer Science, Software Engineering | |
dc.subject | Operations Research & Management Science | |
dc.subject | Mathematics, Applied | |
dc.subject | Computer Science | |
dc.subject | Mathematics | |
dc.subject | Progressive hedging algorithm | |
dc.subject | Regret minimization | |
dc.subject | Risk measures | |
dc.subject | Stochastic optimization | |
dc.title | Risk minimization, regret minimization and progressive hedging algorithms | |
dc.type | Journal Article | |
dcterms.source.volume | 181 | |
dcterms.source.number | 2 | |
dcterms.source.startPage | 509 | |
dcterms.source.endPage | 530 | |
dcterms.source.issn | 0025-5610 | |
dcterms.source.title | Mathematical Programming | |
dc.date.updated | 2023-04-16T10:04:40Z | |
curtin.department | School of Elec Eng, Comp and Math Sci (EECMS) | |
curtin.accessStatus | Open access | |
curtin.faculty | Faculty of Science and Engineering | |
curtin.contributor.orcid | Sun, Jie [0000-0001-5611-1672] | |
curtin.contributor.researcherid | Sun, Jie [B-7926-2016] [G-3522-2010] | |
dcterms.source.eissn | 1436-4646 | |
curtin.contributor.scopusauthorid | Sun, Jie [16312754600] [57190212842] | |
curtin.repositoryagreement | V3 |