C&SA | Contents

Volume 55 >>> № 6 NOVEMBER — DECEMBER 2019

UDC 519.21

V.S. Kirilyuk¹

¹ V.M. Glushkov Institute of Cybernetics, National Academy
of Sciences of Ukraine, Kyiv, Ukraine

POLYHEDRAL COHERENT RISK MEASURES AND ROBUST OPTIMIZATION

Abstract. Properties of the apparatus of polyhedral coherent risk measures, its relationship with problems of robust and distributionally robust optimization, as well as its application under uncertainty are described. Problems of calculating robust constructions of polyhedral coherent risk measures and their minimization, which are reduced to the corresponding linear programming problems, are considered.

Keywords: polyhedral coherent risk measure, Conditional Value-at-Risk, robust optimization, distributionally robust optimization, robust risk measure construction, uncertainty set, linear programming.

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