Technical Note—Risk-Averse Regret Minimization in Multistage Stochastic Programs
References
- (2009) Min-max and min-max regret versions of combinatorial optimization problems: A survey. Eur. J. Oper. Res. 197(2):427–438.Crossref, Google Scholar
- (1999) Coherent measures of risk. Math. Finance 9(3):203–228.Crossref, Google Scholar
- (2014) Regret in online combinatorial optimization. Math. Oper. Res. 39(1):31–45.Link, Google Scholar
- (2017) Risk management with expectiles. Eur. J. Finance 23(6):487–506.Crossref, Google Scholar
- (2004) Adjustable robust solutions of uncertain linear programs. Math. Programming 99(2):351–376.Crossref, Google Scholar
- (2022) A relative robust approach on expected returns with bounded CVaR for portfolio selection. Eur. J. Oper. Res. 296(1):332–352.Crossref, Google Scholar
- (2016) Duality in two-stage adaptive linear optimization: Faster computation and stronger bounds. INFORMS J. Comput. 28(3):500–511.Link, Google Scholar
- (2020) Relative robust and adaptive optimization. INFORMS J. Comput. 32(2):408–427.Abstract, Google Scholar
- (2018) Robust sample average approximation. Math. Program. 171(1):217–282.Crossref, Google Scholar
- (2017) Intertemporal pricing under minimax regret. Oper. Res. 65(1):104–129.Link, Google Scholar
- (2006) The α-reliable mean-excess regret model for stochastic facility location modeling. Naval Res. Logist. 53(7):617–626.Crossref, Google Scholar
- (2021) Regret in the newsvendor model with demand and yield randomness. Production Oper. Management 30(11):4176–4197.Crossref, Google Scholar
- (2022) Dual approach for two-stage robust nonlinear optimization. Oper. Res., ePub ahead of print April 1, https://doi.org/10.1287/opre.2022.2289.Link, Google Scholar
- (2014) The value of stochastic modeling in two-stage stochastic programs with cost uncertainty. Oper. Res. 62(6):1377–1393.Link, Google Scholar
- (2018) Robust postdonation blood screening under prevalence rate uncertainty. Oper. Res. 66(1):1–17.Link, Google Scholar
- (2014) The robust (minmax regret) quadratic assignment problem with interval flows. INFORMS J. Comput. 26(2):321–335.Link, Google Scholar
- (2002) Convex measures of risk and trading constraints. Finance Stochastics 6(4):429–447.Crossref, Google Scholar
- (2015) Heuristic and exact algorithms for the interval min-max regret knapsack problem. INFORMS J. Comput. 27(2):392–405.Link, Google Scholar
- (2016) Minimizing regret in dynamic decision problems. Theory Decision 81(1):123–151.Crossref, Google Scholar
- (2009) Stopping with anticipated regret. J. Math. Econom. 45(7–8):479–490.Crossref, Google Scholar
- (2011) Context dependence and consistency in dynamic choice under uncertainty: The case of anticipated regret. Theory Decision 70(4):399–430.Crossref, Google Scholar
- (2022) Robust multidimensional pricing: Separation without regret. Math. Programming 196:841–874.Crossref, Google Scholar
- (2008) Regret in dynamic decision problems. Working paper, University of Bonn.Google Scholar
- (2011) Primal and dual linear decision rules in stochastic and robust optimization. Math. Programming 130(1):177–209.Crossref, Google Scholar
- (2001) On law invariant coherent risk measures. Kusuoka S, Maruyama T, eds. Advances in Mathematical Economics (Springer, Tokyo), 83–95.Crossref, Google Scholar
- (2006) Model uncertainty, robust optimization, and learning. Models, Methods, and Applications for Innovative Decision Making. Johnson MP, Norman B, Secomandi N, eds. INFORMS TutORials in Operations Research (INFORMS, Catonsville, MD), 66–94.Link, Google Scholar
- (2012) Robust portfolio choice with learning in the framework of regret: Single-period case. Management Sci. 58(9):1732–1746.Link, Google Scholar
- (2018) Data-driven distributionally robust optimization using the Wasserstein metric: Performance guarantees and tractable reformulations. Math. Programming 171(1):115–166.Crossref, Google Scholar
- (2014) A probabilistic model for minmax regret in combinatorial optimization. Oper. Res. 62(1):160–181.Link, Google Scholar
- (2021) An exact algorithm for large-scale continuous nonlinear resource allocation problems with minimax regret objectives. INFORMS J. Comput. 33(3):1213–1228.Link, Google Scholar
- (2008) Regret in the newsvendor model with partial information. Oper. Res. 56(1):188–203.Link, Google Scholar
- (2018) Robust optimization with ambiguous stochastic constraints under mean and dispersion information. Oper. Res. 66(3):814–833.Link, Google Scholar
- (2022) Adjustable robust optimization reformulations of two-stage worst-case regret minimization problems. Oper. Res. 70(5):2906–2930.Link, Google Scholar
- (2021) Risk-averse regret minimization in multi-stage stochastic programs. Technical Report G-2021-70, Groupe d’études et de recherche en analyse des décisions, Montréal.Google Scholar
- (2006) Generalized deviations in risk analysis. Finance Stochastics 10(1):51–74.Crossref, Google Scholar
- (1951) The theory of statistical decision. J. Amer. Statist. Assoc. 46(253):55–67.Crossref, Google Scholar
- (2021) Too proud to stop: Regret in dynamic decisions. J. Eur. Econom. Assoc. 19(1):165–199.Crossref, Google Scholar
- (2015) Risk-averse optimal bidding strategy for demand-side resource aggregators in day-ahead electricity markets under uncertainty. IEEE Trans. Smart Grid 8(1):96–105.Crossref, Google Scholar
- (2006) Expected value of distribution information for the newsvendor problem. Oper. Res. 54(6):1128–1136.Link, Google Scholar
- (2013) Solving two-stage robust optimization problems using a column-and-constraint generation method. Oper. Res. Lett. 41(5):457–461.Crossref, Google Scholar
- (2020) Incorporating production task scheduling in energy management of an industrial microgrid: A regret-based stochastic programming approach. IEEE Trans. Power Systems 36(3):2663–2673.Crossref, Google Scholar
- (2013) Newsvendor optimization with limited distribution information. Optim. Methods Software 28(3):640–667.Crossref, Google Scholar

