Mahmutoğulları, Ali İrfan2019-01-312019-01-312019-012019-012019-01-29http://hdl.handle.net/11693/48612Cataloged from PDF version of article.Thesis (Ph.D.): Bilkent University, Department of Industrial Engineering, İhsan Doğramacı Bilkent University, 2019.Includes bibliographical references (leaves 134-142).Risk-averse multi-stage mixed-integer stochastic programming problems form a class of extremely challenging problems since the problem size grows exponentially with the number of stages, they are non-convex due to integrality restrictions, and their objective functions are nonlinear in general. In this thesis, we first focus on such problems with an objective of dynamic mean conditional value-at-risk. We propose a scenario tree decomposition approach to obtain lower and upper bounds for their optimal values and then use these bounds in an evaluate-and-cut procedure which serves as an exact solution algorithm for such problems with integer first-stage decisions. Later, we consider a risk-averse day-ahead scheduling of electricity generation or unit commitment problem where the objective is a dynamic coherent risk measure. We consider two different versions of the problem: adaptive and non-adaptive. In the adaptive model, the commitment decisions are updated in each stage, whereas in the non-adaptive model, the commitment decisions are fixed in the first-stage. We provide theoretical and empirical analyses on the benefit of using an adaptive multi-stage stochastic model. Finally, we investigate the trade off between the adaptivity of the model and the computational effort to solve it for risk-averse multi-stage production planning problems with an objective of dynamic coherent risk measure. We also conduct computational experiments in order to verify the theoretical findings and discuss the results of these experiments.xiv, 160 leaves : charts ; 30 cm.Englishinfo:eu-repo/semantics/openAccessRisk-averse optimizationMulti-stage stochastic programmingMixed-integer programmingDynamic coherent risk measuresThesisB159657