Montag, 31. Oktober 2016, 16:45 - 17:45 iCal

ISOR Colloquium

"Multistage Stochastic Programming: A Modeling and Algorithmic Perspective"

Speaker: Bernardo Pagnoncelli (UAI, Santiago de Chile)

Sky Lounge OMP1 (12th Floor)
Oskar-Morgenstern-Platz 1, 1090 Vienna


In this presentation I will discuss the incorporation of risk measures into multistage stochastic programs. Much attention has been recently devoted in the literature to this type of model, but there is no consensus on the best way to accomplish that goal. I will discuss pros and cons of the existing approaches, and propose a novel definition of consistency. A class of risk measures, which we call expected conditional risk measures, is discussed, and practical examples illustrate the use of this risk measure in realistic applications.

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Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651