scientific article
From MaRDI portal
Publication:3126752
zbMath0863.90116MaRDI QIDQ3126752
Publication date: 1 April 1997
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
moment problemscase studiessolution techniquesmultistage stochastic programsprobability approximationrandom linear programs
Linear programming (90C05) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Probabilistic methods, stochastic differential equations (65C99)
Related Items
On the influence of robustness measures on shape optimization with stochastic uncertainties ⋮ Robust and reliable portfolio optimization formulation of a chance constrained problem ⋮ Stochastic Quadratic Knapsack with Recourse ⋮ Motion Planning Under Uncertainty with Complex Agents and Environments via Hybrid Search ⋮ The Brunn-Minkowski inequality ⋮ Scenario Min-Max Optimization and the Risk of Empirical Costs ⋮ On the approximability of adjustable robust convex optimization under uncertainty ⋮ A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition ⋮ A comparison of four approaches from stochastic programming for large-scale unit-commitment ⋮ Distributionally Robust Optimization with Principal Component Analysis ⋮ A chance constrained recourse approach for the portfolio selection problem ⋮ Stochastic mixed-integer programming for a spare parts inventory management problem ⋮ Improving constants of strong convexity in linear stochastic programming ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs ⋮ Probability maximization via Minkowski functionals: convex representations and tractable resolution ⋮ Robust DC optimal power flow with modeling of solar power supply uncertainty via R-vine copulas ⋮ Risk budgeting portfolios from simulations ⋮ A composite risk measure framework for decision making under uncertainty ⋮ A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ Robot Dance: a mathematical optimization platform for intervention against COVID-19 in a complex network ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Risk‐averse optimization and resilient network flows ⋮ Towards a Robust Scheduling on Unrelated Parallel Machines: A Scenarios Based Approach ⋮ Joint chance-constrained Markov decision processes ⋮ Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency ⋮ Parametric algorithm for finding a guaranteed solution to a quantile optimization problem ⋮ The deepest event cuts in risk-averse optimization with application to radiation therapy design ⋮ Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers ⋮ Ambiguous Joint Chance Constraints Under Mean and Dispersion Information ⋮ Optimal Neumann Boundary Control of a Vibrating String with Uncertain Initial Data and Probabilistic Terminal Constraints ⋮ Risk-neutral PDE-constrained generalized Nash equilibrium problems ⋮ Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae ⋮ Chance constrained optimization of elliptic PDE systems with a smoothing convex approximation ⋮ Unnamed Item ⋮ Generalized gradients for probabilistic/robust (probust) constraints ⋮ A stochastic network equilibrium model for electric power markets with uncertain demand ⋮ Unnamed Item ⋮ An Embarrassingly Parallel Method for Large-Scale Stochastic Programs ⋮ An Approximation-Based Approach for Chance-Constrained Vehicle Routing and Air Traffic Control Problems ⋮ Risk Aversion in Two-Stage Stochastic Integer Programming ⋮ Unnamed Item ⋮ On the Convexity of Level-sets of Probability Functions ⋮ A class of multiattribute utility functions ⋮ A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming ⋮ Probabilistic linearly constrained programming problems with lognormal random variables. ⋮ Convergence Analysis for Mathematical Programs with Distributionally Robust Chance Constraint ⋮ Energy of convex sets, shortest paths, and resistance ⋮ Computational complexity of stochastic programming problems ⋮ Decomposition of large-scale stochastic optimal control problems ⋮ Game Theoretical Approach for Reliable Enhanced Indexation ⋮ Distributionally robust chance constraints for non-linear uncertainties ⋮ Improved approximations for two-stage MIN-cut and shortest path problems under uncertainty ⋮ Unnamed Item ⋮ Partial sample average approximation method for chance constrained problems ⋮ On solving two-stage distributionally robust disjunctive programs with a general ambiguity set ⋮ JOINT CHANCE CONSTRAINED PROGRAMMING WITH DEPENDENT PARAMETERS ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ Robust optimization for the vehicle routing problem with multiple deliverymen ⋮ Robust newsvendor problems: effect of discrete demands ⋮ Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets ⋮ Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints ⋮ Bilevel Linear Optimization Under Uncertainty ⋮ On Deviation Measures in Stochastic Integer Programming ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale ⋮ Large-scale unit commitment under uncertainty ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution ⋮ Continuity and stability of two-stage stochastic programs with quadratic continuous recourse ⋮ Decision-making from a risk assessment perspective for corporate mergers and acquisitions ⋮ Probabilistic constraints via SQP solver: application to a renewable energy management problem ⋮ Joint chance constrained programming for hydro reservoir management ⋮ Some properties of the unified skew-normal distribution ⋮ Construction of confidence absorbing set for analysis of static stochastic systems ⋮ Tighter reformulations using classical Dawson and Sankoff bounds for approximating two-stage chance-constrained programs ⋮ Data-driven robust chance constrained problems: a mixture model approach ⋮ Global rates of convergence of the MLEs of log-concave and \(s\)-concave densities ⋮ Multiple response optimisation: an approach from multiobjective stochastic programming ⋮ Minimax regret solution to multiobjective linear programming problems with interval objective functions coefficients ⋮ A regularized simplex method ⋮ An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information ⋮ Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty ⋮ Chance constraint as a basis for probabilistic query model ⋮ Probabilistic constrained optimization on flow networks ⋮ Fuzzy linear programming problems: models and solutions ⋮ Relaxations and approximations of chance constraints under finite distributions ⋮ Gradient formulae for probability functions depending on a heterogenous family of constraints ⋮ On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints ⋮ Two-stage bond portfolio optimization and its application to Saudi Sukuk Market ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ Risk tomography ⋮ Denials leak information: simulatable auditing ⋮ Economic oriented stochastic optimization in process control using Taguchi's method ⋮ Distributionally robust optimization with polynomial densities: theory, models and algorithms ⋮ Level bundle methods for constrained convex optimization with various oracles ⋮ A tractable approach for designing piecewise affine policies in two-stage adjustable robust optimization ⋮ Goal scoring, coherent loss and applications to machine learning ⋮ Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs ⋮ New sufficient conditions for strong unimodality of multivariate discrete distributions ⋮ Multiple shooting applied to robust reservoir control optimization including output constraints on coherent risk measures ⋮ Stochastic last mile relief network design with resource reallocation ⋮ Regularization methods for optimization problems with probabilistic constraints ⋮ Stochastic binary problems with simple penalties for capacity constraints violations ⋮ Optimization of a continuous distillation process under random inflow rate. ⋮ Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization ⋮ (Sub-)differentiability of probability functions with elliptical distributions ⋮ Recent advances in the theory and practice of logical analysis of data ⋮ Treatment of uncertain material interfaces in compressible flows ⋮ Note on ``A chance-constrained programming framework to handle uncertainties in radiation therapy treatment planning ⋮ Solving the interval-valued optimization problems based on the concept of null set ⋮ On the adaptivity gap in two-stage robust linear optimization under uncertain packing constraints ⋮ A second-order cone programming formulation for two player zero-sum games with chance constraints ⋮ Threshold Boolean form for joint probabilistic constraints with random technology matrix ⋮ Stationary gas networks with compressor control and random loads: optimization with probabilistic constraints ⋮ Convex approximations for complete integer recourse models ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ A characterization of Nash equilibrium for the games with random payoffs ⋮ Stochastic linear programming with a distortion risk constraint ⋮ Construction of confidence absorbing sets using statistical methods ⋮ Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment ⋮ Optimization models of anti-terrorist protection ⋮ Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs ⋮ A characterization of the subdifferential of singular Gaussian distribution functions ⋮ Subdifferential characterization of probability functions under Gaussian distribution ⋮ A GRASP metaheuristic for the robust mapping and routing of dataflow process networks on manycore architectures ⋮ A survey of adjustable robust optimization ⋮ Chance constrained \(0-1\) quadratic programs using copulas ⋮ Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms ⋮ Multi-echelon supply chains with lead times and uncertain demands. A lot-sizing formulation and solutions ⋮ Convergence conditions for the observed mean method in stochastic programming ⋮ Bounding the values of financial derivatives by the use of the moment problem ⋮ An adaptive model with joint chance constraints for a hybrid wind-conventional generator system ⋮ Wait-and-judge scenario optimization ⋮ Joint model of probabilistic-robust (probust) constraints applied to gas network optimization ⋮ Safe autonomy under perception uncertainty using chance-constrained temporal logic ⋮ Analysis of a chance-constrained new product risk model with multiple customer classes ⋮ Stochastic programming methods in the response surface methodology ⋮ Robust optimization approximation for joint chance constrained optimization problem ⋮ Existence of Nash equilibrium for chance-constrained games ⋮ Stochastic geometric optimization with joint probabilistic constraints ⋮ Efficiency of Monte Carlo computations in very high dimensional spaces ⋮ An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse ⋮ Analysis and comparisons of some solution concepts for stochastic programming problems ⋮ Exact penalization in stochastic programming -- calmness and constraint qualification ⋮ Bounding the probability of the union of events by aggregation and disaggregation in linear programs ⋮ Sharp upper and lower bounds for maximum likelihood solutions to random Gaussian bilateral inequality systems ⋮ Evaluate fuzzy optimization problems based on biobjective programming problems ⋮ The Karush-Kuhn-Tucker optimality conditions for multi-objective programming problems with fuzzy-valued objective functions ⋮ Proximal bundle methods for nonsmooth DC programming ⋮ Robust sample average approximation ⋮ Optimal disturbance compensation for constrained linear systems operating in stationary conditions: a scenario-based approach ⋮ Bounds for the probability of union of events following monotonic distribution ⋮ Flow-based formulations for operational fixed interval scheduling problems with random delays ⋮ A joint model of probabilistic/robust constraints for gas transport management in stationary networks ⋮ Selected topics in robust convex optimization ⋮ On strong unimodality of multivariate discrete distributions ⋮ General sum games with joint chance constraints ⋮ Lagrangian relaxation based heuristics for a chance-constrained optimization model of a hybrid solar-battery storage system ⋮ A stochastic goal programming model to derive stable cash management policies ⋮ Optimum allocation in stratified surveys: stochastic programming ⋮ A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs ⋮ Chance-constrained sets approximation: a probabilistic scaling approach ⋮ A derivative-free trust-region algorithm with copula-based models for probability maximization problems ⋮ Dynamic planning of a two-dose vaccination campaign with uncertain supplies ⋮ Rectangular chance constrained geometric optimization ⋮ On convex lower-level black-box constraints in bilevel optimization with an application to gas market models with chance constraints ⋮ Dynamic probabilistic constraints under continuous random distributions ⋮ Mean utility in the assurance region model ⋮ Computation of some stochastic transportation problems using Essen inequality ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets ⋮ Probabilistic programming for nitrate pollution control: Comparing different probabilistic constraint approximations ⋮ Optimized Bonferroni approximations of distributionally robust joint chance constraints
