A composite risk measure framework for decision making under uncertainty
主 题: A composite risk measure framework for decision making under uncertainty
报告人: Prof. Zizhuo Wang ( University of Minnesota )
时 间: 2015-05-27 14:00 - 15:30
地 点: 北京国际数学研究中心全斋-9教室
In this talk, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution of uncertain model parameters, and the outer risk measure quantifies the risk that occurs when estimating the parameters of distribution. We show that the model is tractable under mild conditions. The framework is a generalization of several existing models, including robust optimization, stochastic programming, distributionally robust optimization, etc. It also leads to several new models which imply a probabilistic guarantee for solutions and yield less conservative results comparing to traditional models. Numerical experiments are performed on portfolio selection problems to demonstrate the strength of our models.