Risk forms: representation, disintegration, and application to partially observable two-stage systems View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2019-02-18

AUTHORS

Darinka Dentcheva, Andrzej Ruszczyński

ABSTRACT

We introduce the concept of a risk form, which is a real functional of two arguments: a measurable function on a Polish space and a measure on that space. We generalize the duality theory and the Kusuoka representation to this setting. For a risk form acting on a product of Polish spaces, we define marginal and conditional forms and we prove a disintegration formula, which represents a risk form as a composition of its marginal and conditional forms. We apply the proposed approach to two-stage stochastic programming problems with partial information and decision-dependent observation distribution. More... »

PAGES

297-317

References to SciGraph publications

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  • 2018-02-23. Risk measurement and risk-averse control of partially observable discrete-time Markov systems in MATHEMATICAL METHODS OF OPERATIONS RESEARCH
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  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s10107-019-01376-1

    DOI

    http://dx.doi.org/10.1007/s10107-019-01376-1

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1112216364


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