Operations Analytics Seminar
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SeriesABRI Seminar (Vrije Universiteit)
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SpeakerAngelos Georghiou (University of Cyprus)
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FieldOperations Analytics
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LocationVrije Universiteit Amsterdam, HG-07A16
Amsterdam -
Date and time
June 01, 2023
16:00 - 17:00
Abstract
Within the context of optimization under uncertainty, a well-known alternative to minimizing expected value or the worst-case scenario consists in minimizing regret. In a multistage stochastic programming setting with a discrete probability distribution, we explore the idea of risk-averse regret minimization, where the benchmark policy can only benefit from foreseeing ∆ steps into the future. The ∆-regret model naturally interpolates between the popular ex ante and ex post regret models. We provide theoretical and numerical insights about this family of models under popular coherent risk measures and shed new light on the conservatism of the ∆-regret minimizing solutions.