DISTRIBUTIONALLY ROBUST BILEVEL PROGRAMMING BASED ON WORST CONDITIONAL VALUE-AT-RISK

被引：0

作者：

Xu, Leiyan ^{[1
]}

Shen, Rui ^{[2
]}

Meng, Zhiqing ^{[2
]}

机构：

[1] Nanjing Vocat Coll Informat Technol, Inst Digital Business, Nanjing 210023, Jiangsu, Peoples R China

[2] Zhejiang Univ Technol, Sch Econ, Hangzhou 310023, Zhejiang, Peoples R China

来源：

PACIFIC JOURNAL OF OPTIMIZATION | 2022年 / 18卷 / 04期

基金：

中国国家自然科学基金;

关键词：

distributionally robust bilevel programming; conditional value at risk; concave probability density distribution function cluster; PORTFOLIO SELECTION; OPTIMIZATION; UNCERTAINTY;

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Distributionally robust bilevel programming based on worst conditional value at risk(WCVaR) is a decision model composed of upper and lower objective functions under WCVaR. First, a concave probability density distribution cluster describing random fluctuation is defined. Then the structure of distributionally robust bilevel programming based on WCVaR with the concave probability density distribution cluster is defined, where both the upper and the lower objective function of the model include WCVaR measures. It is proved that this distributionally robust bilevel programming can be approximately equivalently expressed as robust bilevel programming with parameters, which provides us with an approximate method to solve distributionally robust optimization based on WCVaR with the concave probability density distribution cluster.

引用

页码：825 / 839

页数：15

共 50 条

[1] Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk
Liu, Haiyan
Mao, Tiantian
INSURANCE MATHEMATICS & ECONOMICS, 2022, 107 : 393 - 417
[2] Distributionally robust inference for extreme Value-at-Risk
Yuen, Robert
Stoev, Stilian
Cooley, Dan
INSURANCE MATHEMATICS & ECONOMICS, 2020, 92 : 70 - 89
[3] Robust ν-support vector machine based on worst-case conditional value-at-risk minimization
Wang, Yongqiao
OPTIMIZATION METHODS & SOFTWARE, 2012, 27 (06): : 1025 - 1038
[4] Wasserstein Distributionally Robust Motion Control for Collision Avoidance Using Conditional Value-at-Risk
Hakobyan, Astghik
Yang, Insoon
IEEE TRANSACTIONS ON ROBOTICS, 2022, 38 (02) : 939 - 957
[5] Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
Zhu, Shushang
Fukushima, Masao
OPERATIONS RESEARCH, 2009, 57 (05) : 1155 - 1168
[6] A bilevel programming of multi-loss conditional value-at-risk model and its applications
Jiang, M., 1600, Systems Engineering Society of China (33):
[7] Wasserstein Distributionally Robust Motion Planning and Control with Safety Constraints Using Conditional Value-at-Risk
Hakobyan, Astghik
Yang, Insoon
2020 IEEE INTERNATIONAL CONFERENCE ON ROBOTICS AND AUTOMATION (ICRA), 2020, : 490 - 496
[8] Distributionally robust discrete optimization with Entropic Value-at-Risk
Long, Daniel Zhuoyu
Qi, Jin
OPERATIONS RESEARCH LETTERS, 2014, 42 (08) : 532 - 538
[9] Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium
Lv, Wenhua
Wei, Linxiao
MATHEMATICS, 2023, 11 (18)
[10] Worst-case Value-at-Risk and robust portfolio optimization: A conic programming approach
El Ghaoui, L
Oks, M
Oustry, F
OPERATIONS RESEARCH, 2003, 51 (04) : 543 - 556

← 1 2 3 4 5 →