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16 results on '"Ermoliev, Yuri"'

2. A Risk-Informed Decision-Making Framework for Climate Change Adaptation through Robust Land Use and Irrigation Planning

Author

Ermolieva, Tatiana, Havlik, Petr, Frank, Stefan, Kahil, Taher, Balkovic, Juraj, Skalsky, Rastislav, Ermoliev, Yuri, Knopov, Pavel, Borodina, Olena, Gorbachuk, Vasyl, Ermolieva, Tatiana, Havlik, Petr, Frank, Stefan, Kahil, Taher, Balkovic, Juraj, Skalsky, Rastislav, Ermoliev, Yuri, Knopov, Pavel, Borodina, Olena, and Gorbachuk, Vasyl

Abstract

Uncertainty and variability are key challenges for climate change adaptation planning. In the face of uncertainty, decision-making can be addressed in two interdependent stages: make only partial ex ante anticipative actions to keep options open until new information is revealed, and adapt the first-stage decisions with respect to newly acquired information. This decision-making approach corresponds to the two-stage stochastic optimization (STO) incorporating both anticipative ex ante and adaptive ex post decisions within a single model. This paper develops a two-stage STO model for climate change adaptation through robust land use and irrigation planning under conditions of uncertain water supply. The model identifies the differences between decision-making in the cases of perfect information, full uncertainty, and two-stage STO from the perspective of learning about uncertainty. Two-stage anticipative and adaptive decision-making with safety constraints provides risk-informed decisions characterized by quantile-based Value-at-Risk and Conditional Value-at-Risk risk measures. The ratio between the ex ante and ex post costs and the shape of uncertainty determine the balance between the anticipative and adaptive decisions. Selected numerical results illustrate that the alteration of the ex ante agricultural production costs can affect crop production, management technologies, and natural resource utilization.

Published
2022

8. A system approach to the management of catastrophic risks

Author

Ermoliev, Yuri M. and Ermolieva, Tatania Y.

Subjects
Insurance industry -- Research, Risk management -- Research, Systems analysis -- Research, Business, Business, general, Business, international
Abstract

Methodological issues relating to models to tackle catastrophic risk management are examined in detail, with explanations of strategies.

Published
2000

9. On nonsmooth and discontinuous problems of stochastic systems optimization

Author

Ermoliev, Yuri M. and Norkin, Vladimir I.

Subjects
Distributions, Theory of (Functional analysis) -- Research, Stochastic approximation -- Research, Chaos theory -- Research, Business, Business, general, Business, international
Abstract

A group of nonsmooth stochastic optimization problems, such as risk-control, optimization of stochastic networks, and discrete event systems, were analyzed to demonstrate the pertinence of random search models in resolving such problems. The solutions to nonsmooth optimization problems cannot be found through deterministic and standard stochastic computation methods. Results show that the use of the stochastic mollifier gradient can produce approximation methods for systems with Lipschitz and discontinuous objective functions.

Published
1997

11. Investment Uncertainty, and Production Games

Author

Flåm, Sjur Didrik and Ermoliev, Yuri

Subjects
risk attitudes, ddc:330, core, investment, covariance-pricing, stochastic optimization, insurance, cooperative games
Abstract

This paper explores some cooperative aspects of investments in uncertain, real options. Key production factors are assumed transferable. They may reflect property or user rights. Emission of pollutants and harvest of renewable resources are cases in point. Of particular interest are alternative projects or technologies that provide inferior but anti-correlated returns. Any such project stabilizes the aggregate proceeds. Therefore, given widespread risk exposure and aversion, that project's worth may embody an extra bonus. The setting is formalized as a stochastic production game. Granted no economies of scale such games are quite tractable in analysis, computation, and realization. A core imputation comes in terms of contingent shadow prices that equilibrate competitive, endogenous markets. The said prices emerge as optimal dual solutions to coordinated production programs, featuring pooled resources - and also via adaptive procedures. Extra value - or an insurance premium - adds to any project whose yield is negatively associated with the aggregate.

Published
2004

13. Constraint aggregation principle in convex optimization

Author

Ermoliev, Yuri M., Kryazhimskii, Arkadii V., and Ruszczynski, Andrzej

Subjects
Decomposition, Surrogate constraints, Nonsmooth optimization, Subgradient methods
Abstract

A general constraint aggregation technique is proposed for convex optimization problems. At each iteration a set of convex inequalities and linear equations is replaced by a single surrogate inequality formed as a linear combination of the original constraints. After solving the simplified subproblem, new aggregation coefficients are calculated and the iteration continues. This general aggregation principle is incorporated into a number of specific algorithms. Convergence of the new methods is proved and speed of convergence analyzed. Next, dual interpretation of the method is provided and application to decomposable problems is discussed. Finally, a numerical illustration is given..

Published
1997

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