A1077
Title: Multi-objective stochastic problems and their connections with multivariate risk measures
Authors: Elisa Mastrogiacomo - Insubria University (Italy) [presenting]
Matteo Rocca - Insubria University (Italy)
Abstract: The study of minimax stochastic programming is generalized to the case where the objective function is multi-objective. In doing this, two possible approaches are considered: the objective-wise worst-case approach and the set approach. In both cases, necessary and sufficient conditions of optimality are provided in terms of suitable first-order conditions. Then, the proposed approaches are compared with the minimization of vector-valued and set-valued risk measures recently introduced in previous studies. The minimization of a certain multivariate (respectively, set-valued) risk measure is shown as equivalent to optimising a multiobjective (respectively, set-valued) expected value problem with respect to some weighted distribution in the set of permissible distributions. Specific optimization problems involving risk functions are also introduced and analyzed.
