Northwestern University

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Risk-averse and Distributionally Robust Multistage Stochastic Optimization

Description:

This dissertation investigates a number of models and algorithms in the context of optimization under uncertainty. The focus is on risk-averse optimization, where risk aversion is modeled via stochastic dominance, utility theory, and distributionally robust optimization. We first investigate an investment model with fixed contribution rates, optimize asset-allocation decisions in...

Keyword:

Stochastic Programming, Wasserstein distance, and Distributionally robust optimization

Subject:

Operations research

Creator:

Duque Villarreal, Daniel

Owner:

Scholarly Digital Publishing

Language:

en

Date Uploaded:

02/01/2021

Date Created:

2020-01-01

Resource Type:

Dissertation

Alternate Identifier:

etdadmin_upload_763341 and http://dissertations.umi.com/northwestern:15241