Conditional Value-at-Risk Optimization Applications in Decision Making Problems, Ph.D. Dissertation Sharif University of Technology ; Eshghi, Kourosh (Supervisor) ; Modarres Yazdi, Mohammad (Co-Advisor)
Abstract
In this thesis, the Conditional Value-at-Risk measure (CVaR) is used in two basic decision making problems under uncertainty. This measure is used previously in the field of risk management. The first problem is decision tree problem which is a multi-stage stochastic decision problem. In this problem, the risk of a decision maker is estimated by CVaR measure and a linear programming model is presented by using disjunctive programming theory. The importance of the developed model is in its generality for modeling all problems with decision tree structure. Then, its computational performance is compared to intuitive nonlinear programming models for the problem. Moreover, the presented model...
Cataloging briefConditional Value-at-Risk Optimization Applications in Decision Making Problems, Ph.D. Dissertation Sharif University of Technology ; Eshghi, Kourosh (Supervisor) ; Modarres Yazdi, Mohammad (Co-Advisor)
Abstract
In this thesis, the Conditional Value-at-Risk measure (CVaR) is used in two basic decision making problems under uncertainty. This measure is used previously in the field of risk management. The first problem is decision tree problem which is a multi-stage stochastic decision problem. In this problem, the risk of a decision maker is estimated by CVaR measure and a linear programming model is presented by using disjunctive programming theory. The importance of the developed model is in its generality for modeling all problems with decision tree structure. Then, its computational performance is compared to intuitive nonlinear programming models for the problem. Moreover, the presented model...
Find in contentBookmark
|
|