期刊
OPERATIONS RESEARCH
卷 70, 期 4, 页码 -出版社
INFORMS
DOI: 10.1287/opre.2021.2120
关键词
stochastic programming; coherent risk measures; time consistency; dynamic equations; optimal stopping time; Snell envelope; inventory model; American put option
资金
- Deutsche Forschungsgemeinschaft [416228727-SFB 1410]
- National Science Foundation [1633196]
- Div Of Civil, Mechanical, & Manufact Inn
- Directorate For Engineering [1633196] Funding Source: National Science Foundation
This paper discusses the time consistency of risk-averse optimal stopping in stochastic optimization, demonstrating the importance of specific structures and risk measures in decision-making processes. The discussion also highlights the significance of Bellman's principle of optimality in characterizing optimal policies for such problems.
This paper addresses time consistency of risk-averse optimal stopping in stochastic optimization. It is demonstrated that time-consistent optimal stopping entails a specific structure of the functionals describing the transition between consecutive stages. The stopping risk measures capture this structural behavior and allow natural dynamic equations for risk-averse decision making over time. Consequently, associated optimal policies satisfy Bellman's principle of optimality, which characterizes optimal policies for optimization by stating that a decision maker should not reconsider previous decisions retrospectively. We also discuss numerical approaches to solving such problems.
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