Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

In this tutorial we discuss several aspects of modeling and solving multistage stochastic programming problems. In particular we discuss distributionally robust and risk averse approaches to multistage stochastic programming, and the involved concept of time consistency. This tutorial is aimed at presenting a certain point of view on multistage stochastic optimization, rather than a complete survey of the topic. (c) 2020 Elsevier B.V. All rights reserved.

Automated summary

This tutorial discusses modeling and solving multistage stochastic programming problems, focusing on distributionally robust and risk averse approaches. It also explores the concept of time consistency, aiming to present a certain viewpoint on multistage stochastic optimization rather than providing a comprehensive survey of the topic.