Within the context of optimisation under uncertainty, a well-known alternative to minimising expected value or the worst-case scenario consists in minimising regret. In a multistage stochastic programming setting with a discrete probability distribution, we explore the idea of risk-averse regret minimisation, where the benchmark policy can only benefit from foreseeing ∆ steps into the future.
- Speaker
- Date
- Friday 2 Jun 2023, 12:00 - 13:00
- Type
- Seminar
- Spoken Language
- English
- Room
- ET-18
- Location
- Campus Woudestein
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 minimising solutions. The talk is based on the following paper: https://pubsonline.informs.org/doi/full/10.1287/opre.2022.2429.
About Angelos Georghiou
Angelos Georghiou is an Assistant Professor of Operations Management at the Department of Business and Public Administration at the University of Cyprus.
His research focuses on the development of tractable computational methods for the solution of stochastic and robust optimisation problems, as well as applications in operations management, healthcare and energy.
Organisers
- More information
Secretariat Econometrics: eb-secr@ese.eur.nl
Lunch will be provided (vegetarian option included)