Introduction to stochastic programming
This textbook on stochastic programming is devoted to the description of the main methods so far developed in this area. It is highly connected with modern applications, in particular with those of economic nature. The authors try to describe several things: objects, models, mathematical brackground, theoretical study (exact solution), numerical study (approximate solution). Most of the prerequisites and basic notions and results are given in the book. The reader can get an opinion not only on how stochastic analysis works, but also find his own way to treat concrete problems using stochastic programming methods. The book is divided into five parts related to different sides of this theory. Most of the results are illustrated by modelling examples. A series of exercises is also helpful to understand the main ideas of the book. The large bibliography can be useful for students, teachers, and for those trying to use this material in practical applications. The first part, ``Models, is concerned with applications examples and models which lead to stochastic programming problems. Special attention is paid to the uncertainty of data and to the randomization of the standard deterministic questions. In the second part, ``Basic Properties, the theory of stochastic programming is developed (more precisely, it deals with problems' formulation, their classification, properties of model equations, as well as of solutions). Among the main ideas described are those about the expected value of perfect information and the expected value of the stochastic solution. Part 3, ``Solution Methods, gives a description of the methods of stochastic programming. They are gathered in four chapters devoted to different types of problems: two-stage linear recourse problems, two-stage nonlinear recourse problems, multistage problems, stochastic integer problems. In part 4, ``Approximating and Sampling Methods, some approximative approaches and numerical methods are studied. Among them are evaluation and approximate expectation, Monte Carlo methods and multistage approximation. The short part 5, ``A Case Study, presents an example of stochastic programming consisting of models with flexible capacity.
- Stochastic programming for nurse assignment
- On the convergence of stochastic dual dynamic programming and related methods
- Multi-period portfolio optimization with linear control policies
- A general algorithm for solving two-stage stochastic mixed 0-1 first-stage problems
- On stochastic dynamic programming for solving large-scale planning problems under uncertainty
- Enhancements of two-stage stochastic decomposition
- Investment and the dynamic cost of income uncertainty: the case of diminishing expectations in agriculture
- Integral analysis method - IAM
- A stochastic programming approach to cash management in banking
- The stochastic trim-loss problem
- A two-stage model for a day-ahead paratransit planning problem
- The stochastic p-median problem with unknown cost probability distribution
- Transformation of a multi-choice linear programming problem
- Mortgage loan portfolio optimization using multi-stage stochastic programming
- Modeling supplier selection and the use of option contracts for global supply chain design
- A global chance-constraint for stochastic inventory systems under service level constraints
- Valuation of electricity swing options by multistage stochastic programming
- A survey on metaheuristics for stochastic combinatorial optimization
- Linear programming models for the user and system optimal dynamic network design problem: Formulations, comparisons and extensions
- Asset-liability management for Czech pension funds using stochastic programming
- Tracking error: a multistage portfolio model
- An XML-based schema for stochastic programs
- Analysis of stochastic problem decomposition algorithms in computational grids
- A modeling approach for evaluating capacity flexibilities in uncertain markets
- Global optimization of robust chance constrained problems
- Robust optimization - a comprehensive survey
- Convergent bounds for stochastic programs with expected value constraints
- The optimality conditions for optimization problems with convex constraints and multiple fuzzy-valued objective functions
- Risk optimization with p-order conic constraints: a linear programming approach
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Robust production planning in a manufacturing environment with random yield: a case in sawmill production planning
- Stochastic second-order cone programming in mobile ad hoc networks
- Operations risk management by optimally planning the qualified workforce capacity
- The submodular knapsack polytope
- On \(BFC-MSMIP\) strategies for scenario cluster partitioning, and twin node family branching selection and bounding for multistage stochastic mixed integer programming
- Solving stochastic complementarity problems in energy market modeling using scenario reduction
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- A tighter variant of Jensen's lower bound for stochastic programs and separable approximations to recourse functions
- Enhanced-interval linear programming
- Supply chain design under uncertainty using sample average approximation and dual decomposition
- Multistage stochastic programming with fuzzy probability distribution
- Modeling methods and a branch and cut algorithm for pharmaceutical clinical trial planning using stochastic programming
- The design of robust value-creating supply chain networks: a critical review
- A robust transportation signal control problem accounting for traffic dynamics
- CORO, a modeling and an algorithmic framework for oil supply, transformation and distribution optimization under uncertainty
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
- Robust solutions of uncertain linear programs
- Dual decomposition in stochastic integer programming
- Distributed decision making----a unified approach.
- BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0--1 programs.
- Multistage stochastic programming model for electric power capacity expansion problem
- Convex approximations for complete integer recourse models
- Applications of stochastic programming: Achievements and questions
- On the connectedness of probabilistic constraint sets
- Prescribing product upgrades, prices and production levels over time in a stochastic environment
- Mean utility in the assurance region model
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- Modeling uncertainties with chance constraints
- Modeling time-dependent randomness in stochastic dual dynamic programming
- New solution approaches for the capacitated supplier selection problem with total quantity discount and activation costs under demand uncertainty
- Robust and reliable forward-reverse logistics network design under demand uncertainty and facility disruptions
- An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
- A stochastic program to evaluate disruption mitigation investments in the supply chain
- The decomposition method for two-stage stochastic linear programming problems with quantile criterion
- The capacitated vehicle routing problem with evidential demands
- Expected improvement based infill sampling for global robust optimization of constrained problems
- Piecewise linear lower and upper bounds for the standard normal first order loss function
- The stochastic mitra-wan forestry model: risk neutral and risk averse cases
- Stochastic programming for qualification management of parallel machines in semiconductor manufacturing
- Customized multi-period stochastic assignment problem for social engagement and opportunistic IoT
- A long-term capacity expansion planning model for an electric power system integrating large-size renewable energy technologies
- Optimal deterministic algorithm generation
- Two-stage stochastic variational inequalities: an ERM-solution procedure
- Two-stage non-cooperative games with risk-averse players
- SAA-regularized methods for multiproduct price optimization under the pure characteristics demand model
- On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
- Stochastic last mile relief network design with resource reallocation
- Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter
- Real-time management of berth allocation with stochastic arrival and handling times
- A polyhedral study of the static probabilistic lot-sizing problem
- Mixed-integer programming models for optimal constellation scheduling given cloud cover uncertainty
- An enhanced L-shaped method for optimizing periodic-review inventory control problems modeled via two-stage stochastic programming
- Solving the interval-valued optimization problems based on the concept of null set
- Stochastic separated continuous conic programming: strong duality and a solution method
- Large-scale unit commitment under uncertainty: an updated literature survey
- Stochastic multi-site supply chain planning in textile and apparel industry under demand and price uncertainties with risk aversion
- Planning hydroelectric resources with recourse-based multistage interval-stochastic programming
- A stochastic optimization approach to shift scheduling with breaks adjustments
- On the pervasiveness of difference-convexity in optimization and statistics
- \(K\)-adaptability in stochastic combinatorial optimization under objective uncertainty
- A two-stage stochastic programming approach for influence maximization in social networks
- Convergence conditions for the observed mean method in stochastic programming
- An effective two-stage stochastic multi-trip location-transportation model with social concerns in relief supply chains
- Risk aversion in imperfect natural gas markets
- The Benders decomposition algorithm: a literature review
- Stochastic short-term mine production schedule accounting for fleet allocation, operational considerations and blending restrictions
- Robust two-stage stochastic linear optimization with risk aversion
- Evasive flow capture: a multi-period stochastic facility location problem with independent demand
- A unified approach to uncertain optimization
- Medium-term power planning in electricity markets with pool and bilateral contracts
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