Lectures on Stochastic Programming

DOI10.1137/1.9780898718751zbMath1183.90005OpenAlexW4247165901WikidataQ105584123 ScholiaQ105584123MaRDI QIDQ3643498

Dentcheva, Darinka, Ruszczyński, Andrzej, Alexander Shapiro

Publication date: 9 November 2009

Full work available at URL: https://doi.org/10.1137/1.9780898718751

zbMATH Keywords

statistical inferencesample average approximationoptimality and dualityrisk-averse approachesstochastic programming models

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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measures and robust optimization, On sample size control in sample average approximations for solving smooth stochastic programs, Regularization of stochastic variational inequalities and a comparison of an \(L_p\) and a sample-path approach, PySP: modeling and solving stochastic programs in Python, Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems, Uncontrolled inexact information within bundle methods, Optimizing cost-effectiveness in a stochastic Markov manpower planning system under control by recruitment, A quantitative comparison of risk measures, Asymptotic optimality in stochastic optimization, Optimal non-anticipative scenarios for nonlinear hydro-thermal power systems, Tractable reformulations of two-stage distributionally robust linear programs over the type-\(\infty\) Wasserstein ball, When can we improve on sample average approximation for stochastic optimization?, Asymptotic analysis for a stochastic semidefinite programming, Logarithmic sample bounds for sample average approximation with capacity- or budget-constraints, Statistical estimation of composite risk functionals and risk optimization problems, Two-stage mean-risk stochastic mixed integer optimization model for location-allocation problems under uncertain environment, Hadamard directional differentiability of the optimal value of a linear second-order conic programming problem, Two fast variance-reduced proximal gradient algorithms for SMVIPs -- stochastic mixed variational inequality problems with suitable applications to stochastic network games and traffic assignment problems, An approach to the distributionally robust shortest path problem, Optimal randomized classification trees, Quadratic two-stage stochastic optimization with coherent measures of risk, Eventual convexity of probability constraints with elliptical distributions, Data-driven risk-averse stochastic optimization with Wasserstein metric, Deterministic bicriteria model for stochastic variational inequalities, Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance, A composite risk measure framework for decision making under uncertainty, Variable neighborhood search for stochastic linear programming problem with quantile criterion, Sample average approximation in a two-stage stochastic linear program with quantile criterion, Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands, Kusuoka representation of higher order dual risk measures, Convex relaxations of chance constrained optimization problems, Stochastic optimization models of actuarial mathematics, Generalized gradients in dynamic optimization, optimal control, and machine learning problems, Regularized stochastic dual dynamic programming for convex nonlinear optimization problems, Optimization of covered calls under uncertainty, Evaluation of scenario reduction algorithms with nested distance, A stochastic disaster relief game theory network model, A regularized smoothing method for fully parameterized convex problems with applications to convex and nonconvex two-stage stochastic programming, Subregular recourse in nonlinear multistage stochastic optimization, Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization, Constant depth decision rules for multistage optimization under uncertainty, Distribution network deployment for omnichannel retailing, Minimization of a class of rare event probabilities and buffered probabilities of exceedance, Variance reduction for sequential sampling in stochastic programming, Climate-aware generation and transmission expansion planning: a three-stage robust optimization approach, Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk, A study on the optimal inventory allocation for clinical trial supply chains, Robust management and pricing of liquefied natural gas contracts with cancelation options, Consistency analysis of a local Lipschitz homeomorphism of an SAA normal mapping for a parametric stochastic variational inequality, Exact penalization in stochastic programming -- calmness and constraint qualification, Designing a two-echelon distribution network under demand uncertainty, Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility, Multiplier stabilization applied to two-stage stochastic programs, A dynamic programming approach to adjustable robust optimization, A multi-product risk-averse newsvendor with exponential utility function, Hierarchical MPC schemes for periodic systems using stochastic programming, Optimal stochastic extragradient schemes for pseudomonotone stochastic variational inequality problems and their variants, Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion, The natural Banach space for version independent risk measures, Partition-based decomposition algorithms for two-stage stochastic integer programs with continuous recourse, Robustness of optimal portfolios under risk and stochastic dominance constraints, Reverse logistics network design and planning utilizing conditional value at risk, Improved approximations for two-stage MIN-cut and shortest path problems under uncertainty, On dealing with strategic and tactical decision levels in forestry planning under uncertainty, General properties of two-stage stochastic programming problems with probabilistic criteria, Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation, Structure of risk-averse multistage stochastic programs, Quantitative stability of multistage stochastic programs via calm modifications, Distributionally robust optimization with correlated data from vector autoregressive processes, Epiconvergence of relaxed stochastic optimization problems, A survey of network interdiction models and algorithms, On risk-averse stochastic semidefinite programs with continuous recourse, Data-driven models for capacity allocation of inpatient beds in a Chinese public hospital, Stochastic structured tensors to stochastic complementarity problems, Stochastic sampling for deterministic structural topology optimization with many load cases: density-based and ground structure approaches, Partial sample average approximation method for chance constrained problems, Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems, The wait-and-judge scenario approach applied to antenna array design, On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems, Mean-semivariance optimality for continuous-time Markov decision processes, Survey on blood supply chain management: models and methods, Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming, Distributionally robust joint chance constrained problem under moment uncertainty, The scenario approach for stochastic model predictive control with bounds on closed-loop constraint violations, A smooth penalty-based sample average approximation method for stochastic complementarity problems, Minimal representation of insurance prices, Quasi-Monte Carlo methods for linear two-stage stochastic programming problems, Large-scale unit commitment under uncertainty, Optimization over the Pareto outcome set associated with a convex bi-objective optimization problem: theoretical results, deterministic algorithm and application to the stochastic case, On solving convex optimization problems with linear ascending constraints, Probabilistic constraints via SQP solver: application to a renewable energy management problem, Optimal annuity portfolio under inflation risk, Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method, A stochastic gradient method for a class of nonlinear PDE-constrained optimal control problems under uncertainty, Stochastic programming with primal-dual dynamics: a mean-field game approach, Using stochastic programming to solve an outpatient appointment scheduling problem with random service and arrival times, Coping with shortages caused by disruptive events in automobile supply chains, Approximating the chance-constrained capacitated vehicle routing problem with robust optimization, Sharing the value‐at‐risk under distributional ambiguity, Comparing stage-scenario with nodal formulation for multistage stochastic problems, Value at risk approach to producer's best response in an electricity market with uncertain demand, Improved variance reduction extragradient method with line search for stochastic variational inequalities, Optimal production decision for a risk‐averse manufacturer faced with random yield and stochastic demand, From scenarios to conditional scenarios in two‐stage stochastic MILP problems, An Optimal Control Problem with Terminal Stochastic Linear Complementarity Constraints, Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning, Focus programming: a bi‐level programming approach to static stochastic optimization problems, Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method, Index policy for multiarmed bandit problem with dynamic risk measures, The policy graph decomposition of multistage stochastic programming problems, Risk budgeting portfolios from simulations, A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints, Intraday power trading: toward an arms race in weather forecasting?, Safe, learning-based MPC for highway driving under Lane-change uncertainty: a distributionally robust approach, The two-echelon stochastic multi-period capacitated location-routing problem, Dual SDDP for risk-averse multistage stochastic programs, Routing in offshore wind farms: a multi-period location and maintenance problem with joint use of a service operation vessel and a safe transfer boat, Batching Adaptive Variance Reduction, Two-stage international portfolio models with higher moment risk measures, Pulse width modulation control for stochastic Lagrange systems, Duality and sensitivity analysis of multistage linear stochastic programs, Integrated strategic energy mix and energy generation planning with multiple sustainability criteria and hierarchical stakeholders, Cardinality-constrained distributionally robust portfolio optimization, Sample average approximation for risk-averse problems: a virtual power plant scheduling application, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, Variable sample-size operator extrapolation algorithm for stochastic mixed variational inequalities, Diametrical risk minimization: theory and computations, Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures, Stochastic regularized Newton methods for nonlinear equations, Parametric level-set inverse problems with stochastic background estimation, Polyhedral coherent risk measure and distributionally robust portfolio optimization, On unifying randomized methods for inverse problems, Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems, Value function gradient learning for large-scale multistage stochastic programming problems, A bi-criteria moving-target travelling salesman problem under uncertainty, First-order methods for convex optimization, Market-dependent preferences, positive and negative network effects and welfare, A three-stage stochastic optimization model integrating 5G technology and UAVs for disaster management, Increasing reliability of price signals in long term energy management problems, A parallel greedy approach enhanced by genetic algorithm for the stochastic rig routing problem, Heuristic feeder‐bus operation strategy considering weather information: a chance‐constrained model, Unnamed Item