Multi-objective risk-averse two-stage stochastic programming problems
Optimization and Control
2017-11-20 v1 Risk Management
Abstract
We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued constraints and propose an extended version of Benson's algorithm to solve this problem. Using Lagrangian duality, we develop scenario-wise decomposition methods to solve the two scalarization problems appearing in Benson's algorithm. Then, we propose a procedure to recover the primal solutions of these scalarization problems from the solutions of their Lagrangian dual problems. Finally, we test our algorithms on a multi-asset portfolio optimization problem under transaction costs.
Cite
@article{arxiv.1711.06403,
title = {Multi-objective risk-averse two-stage stochastic programming problems},
author = {Çağın Ararat and Özlem Çavuş and Ali İrfan Mahmutoğulları},
journal= {arXiv preprint arXiv:1711.06403},
year = {2017}
}
Comments
43 pages, 6 tables, 8 figures