Rectangular Sets of Probability Measures
成果类型：
Article
署名作者：
Shapiro, Alexander
署名单位：
University System of Georgia; Georgia Institute of Technology
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.2015.1466
发表日期：
2016
页码：
528-541
关键词：
摘要：
In this paper we consider the notion of rectangularity of a set of probability measures from a somewhat different point of view. We define rectangularity as a property of dynamic decomposition of a distributionally robust stochastic optimization problem and show how it relates to the modern theory of coherent risk measures. Consequently, we discuss robust formulations of multistage stochastic optimization problems in frameworks of stochastic programming, stochastic optimal control, and Markov decision processes.
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