Article ID Journal Published Year Pages File Type
1142829 Operations Research Letters 2009 5 Pages PDF
Abstract

We discuss time consistency of multistage risk averse stochastic programming problems. The concept of time consistency is approached from an optimization point of view. That is, at each state of the system optimality of a decision policy should not involve states which cannot happen in the future.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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On a time consistency concept in risk averse multistage stochastic programming
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