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G-2021-70

Risk-averse regret minimization in multi-stage stochastic programs

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Within the context of optimization under uncertainty, a well-known alternative to minimizing expected value or the worst-case scenario consists in minimizing regret. In a multi-stage stochastic programming setting with a discrete probability distribution, we explore the idea of risk-averse regret minimization, where the benchmark policy can only benefit from foreseeing \(\Delta\) steps into the future. The \(\Delta\)-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 \(\Delta\)-regret minimizing solutions.

, 28 pages

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