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Advances in Risk-Averse Optimization

Published Online:14 Oct 2014https://doi.org/10.1287/educ.2013.0110

Abstract

We discuss main ideas of formalizing risk-averse preferences and using them in optimization problems: utility theories, risk measures, and stochastic order constraints. We also present methods for solving risk-averse optimization problems. Multistage models are discussed as well.

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cover image INFORMS TutORials in Operations Research

Theory Driven by Influential Applications

September 2013

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Published Online:October 14, 2014

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(2014) Advances in Risk-Averse Optimization. INFORMS TutORials in Operations Research null(null):168-190.

https://doi.org/10.1287/educ.2013.0110

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