Lectures on Stochastic Programming
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(only showing first 100 items - show all)- Stochastic programming, state of the art. 8th international conference, Univ. of British Columbia, Vancouver, Canada, August 8--16, 1998
- Data-driven robust chance constrained problems: a mixture model approach
- An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
- Superquantile/CVaR risk measures: second-order theory
- A fair division approach to humanitarian logistics inspired by conditional value-at-risk
- Active network management for electrical distribution systems: problem formulation, benchmark, and approximate solution
- A SAA nonlinear regularization method for a stochastic extended vertical linear complementarity problem
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- Online spatio-temporal matching in stochastic and dynamic domains
- Relaxations and approximations of chance constraints under finite distributions
- The stochastic mitra-wan forestry model: risk neutral and risk averse cases
- Distributionally robust fixed interval scheduling on parallel identical machines under uncertain finishing times
- Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
- Multiperiod portfolio investment using stochastic programming with conditional value at risk
- Flexible solutions to maritime inventory routing problems with delivery time windows
- Stochastic maximum flow interdiction problems under heterogeneous risk preferences
- Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
- Risk-averse formulations and methods for a virtual power plant
- Exploring the potential use of the Birnbaum-Saunders distribution in inventory management
- Distributionally robust chance constrained problem under interval distribution information
- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
- Two-stage stochastic variational inequalities: an ERM-solution procedure
- Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities
- Two-stage non-cooperative games with risk-averse players
- On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
- Quantitative stability analysis of stochastic quasi-variational inequality problems and applications
- Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems
- Distributionally robust equilibrium for continuous games: Nash and Stackelberg models
- Risk tomography
- The optimal harvesting problem under price uncertainty: the risk averse case
- Gradient and Hessian of joint probability function with applications on chance-constrained programs
- Estimation of Lévy processes via stochastic programming and Kalman filtering
- Dual dynamic programming with cut selection: convergence proof and numerical experiments
- Multiple shooting applied to robust reservoir control optimization including output constraints on coherent risk measures
- 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
- Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
- (Sub-)differentiability of probability functions with elliptical distributions
- On the adaptivity gap in two-stage robust linear optimization under uncertain packing constraints
- Stochastic methods based on \(\mathcal{VU}\)-decomposition methods for stochastic convex minimax problems
- Stochastic separated continuous conic programming: strong duality and a solution method
- Sample average approximation for the continuous type principal-agent problem
- An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems
- Stationary gas networks with compressor control and random loads: optimization with probabilistic constraints
- Stability analysis of stochastic generalized equation via Brouwer's fixed point theorem
- Multistage portfolio optimization with multivariate dominance constraints
- Large-scale unit commitment under uncertainty: an updated literature survey
- Postponed two-pricing and ordering opportunity for selling a single season inventoried product
- Nonparametric shape-restricted regression
- Computation of weighted sums of rewards for concurrent MDPs
- Two-stage absolute semi-deviation mean-risk stochastic programming: an application to the supply chain replenishment problem
- Time-consistent, risk-averse dynamic pricing
- A distributed one-step estimator
- Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities
- Subdifferential characterization of probability functions under Gaussian distribution
- On the pervasiveness of difference-convexity in optimization and statistics
- On variance reduction for stochastic smooth convex optimization with multiplicative noise
- A multicriteria optimization model for sustainable forest management under climate change uncertainty: an application in Portugal
- On the on-line maintenance scheduling problem
- A two-stage stochastic programming approach for influence maximization in social networks
- Convergence conditions for the observed mean method in stochastic programming
- Variable sample size method for equality constrained optimization problems
- Robust decision making using a general utility set
- A parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problems
- A unified approach to uncertain optimization
- Cell-and-bound algorithm for chance constrained programs with discrete distributions
- The multi-sourcing location inventory problem with stochastic demand
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Risk management for forestry planning under uncertainty in demand and prices
- Two approaches to stochastic optimal control problems with a final-time expectation constraint
- A multi-stage stochastic optimization model of a pastoral dairy farm
- Carrots, sticks and fog during insurgencies
- Stochastic linear programming. Models, theory, and computation
- Maximizing expected utility over a knapsack constraint
- Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system
- Monotonic bounds in multistage mixed-integer stochastic programming
- Likelihood robust optimization for data-driven problems
- On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty
- Flow-based formulations for operational fixed interval scheduling problems with random delays
- A topologically valid definition of depth for functional data
- Adaptive racing ranking-based immune optimization approach solving multi-objective expected value programming
- Solving 0-1 semidefinite programs for distributionally robust allocation of surgery blocks
- A look at the past and present of optimization - an editorial
- Minimax and risk averse multistage stochastic programming
- Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
- Robust risk management
- Short-term liner ship fleet planning with container transshipment and uncertain container shipment demand
- A smoothing SAA method for a stochastic mathematical program with complementarity constraints.
- Stochastic methods based on Newton method to the stochastic variational inequality problem with constraint conditions
- Augmented Lagrangian method for probabilistic optimization
- Scenario decomposition of risk-averse multistage stochastic programming problems
- Energy contracts management by stochastic programming techniques
- Some equilibrium problems under uncertainty and random variational inequalities
- Decision making and optimization in changeable spaces, a new paradigm
- Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
- Bounds for nested law invariant coherent risk measures
- Time consistency of dynamic risk measures
- Robust solutions of quadratic optimization over single quadratic constraint under interval uncertainty
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- Regularization methods for optimization problems with probabilistic constraints
- Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints
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