A Linear Decision-Based Approximation Approach to Stochastic Programming

DOI10.1287/opre.1070.0457zbMath1167.90609MaRDI QIDQ3392175

Melvyn Sim, Peng Sun, Xin Chen, Jia-Wei Zhang

Publication date: 13 August 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1070.0457

Mathematics Subject Classification ID

90C15: Stochastic programming

90C59: Approximation methods and heuristics in mathematical programming

Related Items

Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs, Robust Inventory Management: An Optimal Control Approach, Adjustable Robust Optimization via Fourier–Motzkin Elimination, Robust Dual Dynamic Programming, Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets, A Primal–Dual Lifting Scheme for Two-Stage Robust Optimization, Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems, Two-stage stochastic linear programs with incomplete information on uncertainty, A polynomial-time solution scheme for quadratic stochastic programs, Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules, Generalized decision rule approximations for stochastic programming via liftings, Primal and dual linear decision rules in stochastic and robust optimization, Robust resource allocations in temporal networks, A stochastic program with time series and affine decision rules for the reservoir management problem, Robust execution strategies for project scheduling with unreliable resources and stochastic durations, A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints, Binary decision rules for multistage adaptive mixed-integer optimization, Multipolar robust optimization, A survey of adjustable robust optimization, Decision rule approximations for the risk averse reservoir management problem, Decomposition for adjustable robust linear optimization subject to uncertainty polytope, International portfolio management with affine policies, The decision rule approach to optimization under uncertainty: methodology and applications, Bilevel programming approaches to production planning for multiple products with short life cycles, A tractable approach for designing piecewise affine policies in two-stage adjustable robust optimization, A model of distributionally robust two-stage stochastic convex programming with linear recourse, Optimal order strategy in uncertain demands with free shipping option, Environmental game modeling with uncertainties, Robust and reliable portfolio optimization formulation of a chance constrained problem, Quadratic two-stage stochastic optimization with coherent measures of risk, A class of two-stage distributionally robust games, Dynamic Capacity Management with General Upgrading, Multistage Adaptive Robust Optimization for the Unit Commitment Problem, Multistage Robust Mixed-Integer Optimization with Adaptive Partitions, Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction, Dynamic Container Deployment: Two-Stage Robust Model, Complexity, and Computational Results, Objective function design for robust optimality of linear control under state-constraints and uncertainty