scientific article; zbMATH DE number 995813

zbMATH Open0863.90116MaRDI QIDQ3126752FDOQ3126752

Publication date: 1 April 1997

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moment problems case studies solution techniques multistage stochastic programs probability approximation random linear programs

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Linear programming (90C05) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

Cited In (only showing first 100 items - show all)

Robust sample average approximation
Gradient formulae for probability functions depending on a heterogenous family of constraints
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
An adaptive model with joint chance constraints for a hybrid wind-conventional generator system
Analysis of a chance-constrained new product risk model with multiple customer classes
Mean utility in the assurance region model
Large-scale unit commitment under uncertainty: an updated literature survey
Post-tax optimization with stochastic programming
Distributionally robust chance constraints for non-linear uncertainties
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Convergence conditions for the observed mean method in stochastic programming
Multiple response optimisation: an approach from multiobjective stochastic programming
A comparison of four approaches from stochastic programming for large-scale unit-commitment
Semidefinite programming for chance constrained optimization over semialgebraic sets
Convergence analysis for mathematical programs with distributionally robust chance constraint
Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
On the influence of robustness measures on shape optimization with stochastic uncertainties
A chance constrained recourse approach for the portfolio selection problem
On the convexity of level-sets of probability functions
On strong unimodality of multivariate discrete distributions
Proximal bundle methods for nonsmooth DC programming
Probabilistic constraints via SQP solver: application to a renewable energy management problem
A characterization of Nash equilibrium for the games with random payoffs
Relaxations and approximations of chance constraints under finite distributions
A composite risk measure framework for decision making under uncertainty
Stochastic last mile relief network design with resource reallocation
Motion Planning Under Uncertainty with Complex Agents and Environments via Hybrid Search
Flow-based formulations for operational fixed interval scheduling problems with random delays
Computation of some stochastic transportation problems using Essen inequality
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Probability maximization via Minkowski functionals: convex representations and tractable resolution
Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
Some properties of the unified skew-normal distribution
Generalized gradients for probabilistic/robust (probust) constraints
Joint model of probabilistic-robust (probust) constraints applied to gas network optimization
Risk tomography
Robust DC optimal power flow with modeling of solar power supply uncertainty via R-vine copulas
Optimized Bonferroni approximations of distributionally robust joint chance constraints
Risk aversion in two-stage stochastic integer programming
The Karush-Kuhn-Tucker optimality conditions for multi-objective programming problems with fuzzy-valued objective functions
Partial sample average approximation method for chance constrained problems
A stochastic network equilibrium model for electric power markets with uncertain demand
An embarrassingly parallel method for large-scale stochastic 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
Probabilistic linearly constrained programming problems with lognormal random variables.
Optimization models of anti-terrorist protection
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Note on ``A chance-constrained programming framework to handle uncertainties in radiation therapy treatment planning
On the adaptivity gap in two-stage robust linear optimization under uncertain packing constraints
Solving the interval-valued optimization problems based on the concept of null set
Denials leak information: simulatable auditing
Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae
Chance constrained problems: penalty reformulation and performance of sample approximation technique
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Economic oriented stochastic optimization in process control using Taguchi's method
On the approximability of adjustable robust convex optimization under uncertainty
A regularized simplex method
Minimax regret solution to multiobjective linear programming problems with interval objective functions coefficients
A stochastic goal programming model to derive stable cash management policies
Level bundle methods for constrained convex optimization with various oracles
Stochastic mixed-integer programming for a spare parts inventory management problem
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A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming
Analysis and comparisons of some solution concepts for stochastic programming problems
Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
Probabilistic programming for nitrate pollution control: Comparing different probabilistic constraint approximations
A survey of adjustable robust optimization
Treatment of uncertain material interfaces in compressible flows
Evaluate fuzzy optimization problems based on biobjective programming problems
A second-order cone programming formulation for two player zero-sum games with chance constraints
Multi-echelon supply chains with lead times and uncertain demands. A lot-sizing formulation and solutions
Scenario MIN-MAX optimization and the risk of empirical costs
Safe autonomy under perception uncertainty using chance-constrained temporal logic
An inner-outer approximation approach to chance constrained optimization
Selected topics in robust convex optimization
(Sub-)differentiability of probability functions with elliptical distributions
Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
Stochastic quadratic knapsack with recourse
Global rates of convergence of the MLEs of log-concave and \(s\)-concave densities
Stationary gas networks with compressor control and random loads: optimization with probabilistic constraints
Fuzzy linear programming problems: models and solutions
Distributionally robust optimization with polynomial densities: theory, models and algorithms
Challenges in stochastic programming
Multi-horizon stochastic programming
Threshold Boolean form for joint probabilistic constraints with random technology matrix
Regularization methods for optimization problems with probabilistic constraints
Eventual convexity of probability constraints with elliptical distributions
Game Theoretical Approach for Reliable Enhanced Indexation
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Stochastic programming methods in the response surface methodology
Chance constrained \(0-1\) quadratic programs using copulas
Energy of convex sets, shortest paths, and resistance
Efficiency of Monte Carlo computations in very high dimensional spaces
Optimization of a continuous distillation process under random inflow rate.
Bounding the probability of the union of events by aggregation and disaggregation in linear programs
Distributionally robust optimization with principal component analysis
A class of multiattribute utility functions

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