Risk Measures in Two-Stage Stochastic Programs

2008 ◽  
pp. 9-32
Keyword(s):  
Risk Measures ◽  
Two Stage ◽  
Stochastic Programs

Consistency of Sample Estimates of Risk Averse Stochastic Programs

2013 ◽  
Vol 50 (02) ◽  
pp. 533-541 ◽  
Author(s):  
Alexander Shapiro
Keyword(s):  
Stochastic Programming ◽  
Law Of Large Numbers ◽  
Risk Measures ◽  
Regularity Conditions ◽  
Distributed Data ◽  
Risk Averse ◽  
Asymptotic Consistency ◽  
Stochastic Programs ◽  
Large Numbers ◽  
Independent Identically Distributed

In this paper we study asymptotic consistency of law invariant convex risk measures and the corresponding risk averse stochastic programming problems for independent, identically distributed data. Under mild regularity conditions, we prove a law of large numbers and epiconvergence of the corresponding statistical estimators. This can be applied in a straightforward way to establish convergence with probability 1 of sample-based estimators of risk averse stochastic programming problems.

Two-Stage Stochastic Programs with Recourse

2008 ◽  
pp. 3959-3961
Author(s):  
Francois Louveaux ◽  
John R. Birge
Keyword(s):  
Two Stage ◽  
Stochastic Programs

Quantitative stability of full random two-stage stochastic programs with recourse

2014 ◽  
Vol 9 (6) ◽  
pp. 1075-1090 ◽  
Author(s):  
Youpan Han ◽  
Zhiping Chen
Keyword(s):  
Two Stage ◽  
Quantitative Stability ◽  
Stochastic Programs

scholarly journals Simulation-based confidence bounds for two-stage stochastic programs

2013 ◽  
Vol 138 (1-2) ◽  
pp. 15-42 ◽  
Author(s):  
Peter W. Glynn ◽  
Gerd Infanger
Keyword(s):  
Confidence Bounds ◽  
Two Stage ◽  
Stochastic Programs ◽  
Simulation Based

scholarly journals Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse

2014 ◽  
Vol 11 (4) ◽  
pp. 250-264 ◽  
Author(s):  
Tahir Ekin ◽  
Nicholas G. Polson ◽  
Refik Soyer
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Two Stage ◽  
Stochastic Programs
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