Introduction to Stochastic Programming

DOI10.1007/b97617zbMath0892.90142OpenAlexW347166089MaRDI QIDQ4354450

François V. Louveaux, John R. Birge

Publication date: 15 September 1997

Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b97617

zbMATH Keywords

samplingrandomizationuncertainty of data

Mathematics Subject Classification ID

Stochastic programming (90C15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01)

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Scheduling with Scenarios, Robustness to uncertain optimization using scalarization techniques and relations to multiobjective optimization, Multistage Stochastic Programs via Stochastic Parametric Optimization, Mean-Variance Risk-Averse Optimal Control of Systems Governed by PDEs with Random Parameter Fields Using Quadratic Approximations, Stochastic models for air cargo terminal manpower supply planning in long-term operations, An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures, Accelerating the Benders Decomposition Method: Application to Stochastic Network Design Problems, Strategic capacity decision-making in a stochastic manufacturing environment using real-time approximate dynamic programming, Challenges and Advances in A Priori Routing, Convergence properties of two-stage stochastic programming, Coordinating efficiency and equity in disaster relief logistics via information updates, Approximation-exact penalty function method for solving a class of stochastic programming, EFFICIENT NEIGHBORHOOD SEARCH FOR THE PROBABILISTIC MULTI-VEHICLE PICKUP AND DELIVERY PROBLEM, Chance-constrained programming in activity networks: A critical evaluation, Multistage quadratic stochastic programming, Online portfolio selection, On solving strong multistage nonsymmetric stochastic mixed 0-1 problems, New policies for the dynamic traveling salesman problem, On greedy approximation algorithms for a class of two-stage stochastic assignment problems, LP-based heuristics for the capacitated lot-sizing problem: The interaction of model formulation and solution algorithm, Robust tower location for code division multiple access networks, Mitigating demand uncertainty across a winery's sales channels through postponement, A multiple-depot, multiple-vehicle, location-routing problem with stochastically processed demands, Probabilistic models for the Steiner Tree problem, Mathematical programming for network revenue management revisited, Analytic approximation and differentiability of joint chance constraints, Fashion products with asymmetric sales horizons, The parallel solution of dense saddle-point linear systems arising in stochastic programming, A selective newsvendor approach to order management, Hedging European and Barrier options using stochastic optimization, Regularization method for stochastic mathematical programs with complementarity constraints, The Power of Recourse for Online MST and TSP, Determining controller benefits via probabilistic optimization, What you should know about approximate dynamic programming, On the random 2-stage minimum spanning tree, Simultaneous Optimal Control and Discrete Stochastic Sensor Selection, Efficient neighborhood search for the Probabilistic Pickup and Delivery Travelling Salesman Problem, Best and Worst Optimum for Linear Programs with Interval Right Hand Sides, An Interactive Fuzzy Satisficing Method for Random Fuzzy Multiobjective Integer Programming Problems through Probability Maximization with Possibility, A Riccati-based primal interior point solver for multistage stochastic programming ‐ extensions, SISP: Simplified interface for stochastic programming, Minimax analysis of stochastic problems, Approximation Algorithms for a Class of Stochastic Selection Problems with Reward and Cost Considerations, Adjustable Robust Optimization via Fourier–Motzkin Elimination, Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity, Tractable algorithms for chance-constrained combinatorial problems, Challenges in Enterprise Wide Optimization for the Process Industries, Continuity and Stability of a Quadratic Mixed-Integer Stochastic Program, Minimax regret path location on trees, Randomization Helps Computing a Minimum Spanning Tree under Uncertainty, Generalized robust duality in constrained nonconvex optimization, Limited recourse in two-stage stochastic linear programs, Stochastic Algorithms for the Estimation of an Optimal Solution of a LP Problem. Convergence and Central Limit Theorem, Complexity Results and Effective Algorithms for Worst-Case Linear Optimization Under Uncertainties, Scheduling problems with random processing times under expected earliness/tardiness costs, Real options valuation applied to transmission expansion planning, Optimal retirement planning with a focus on single and joint life annuities, Stochastic programming models for replication of electricity forward contracts for industry, Parallel implementation of augmented Lagrangian method within L-shaped method for stochastic linear programs, Single–machine scheduling with random machine breakdowns and randomly compressible processing times, On Deviation Measures in Stochastic Integer Programming, Random test problems and parallel methods for quadratic programs and quadratic stochastic programs^∗, The Stochastic Guaranteed Service Model with Recourse for Multi-Echelon Warehouse Management, Some characterizations of robust optimal solutions for uncertain fractional optimization and applications, The mixed capacitated general routing problem under uncertainty, A multi-level Taguchi-factorial two-stage stochastic programming approach for characterization of parameter uncertainties and their interactions: an application to water resources management, Data envelopment analysis with outputs uncertainty, Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques, Worst-case robust decisions for multi-period mean-variance portfolio optimization, The value of the stochastic solution in multistage problems, Level bundle methods for oracles with on-demand accuracy, An exact algorithm for solving large-scale two-stage stochastic mixed-integer problems: some theoretical and experimental aspects, Supply capacity acquisition and allocation with uncertain customer demands, Supplier selection and order allocation in CLSC configuration with various supply strategies under disruption risk, Single observation adaptive search for discrete and continuous stochastic optimization, Efficient approximate dynamic programming based on design and analysis of computer experiments for infinite-horizon optimization, On the probabilistic feasibility of solutions in multi-agent optimization problems under uncertainty, Arc routing under uncertainty: introduction and literature review, Two-Stage Stochastic Optimization Meets Two-Scale Simulation, Intelligent inventory management approaches for perishable pharmaceutical products in a healthcare supply chain, Constraint qualifications and optimality conditions for robust nonsmooth semi-infinite multiobjective optimization problems, Unnamed Item, Convergence of a weighted barrier algorithm for stochastic convex quadratic semidefinite optimization, Futures Market Trading for Electricity Producers and Retailers, A Decision Support System for Generation Planning and Operation in Electricity Markets, Multicut Benders decomposition algorithm for process supply chain planning under uncertainty, A decomposition approach to the two-stage stochastic unit commitment problem, Top-percentile traffic routing problem by dynamic programming, On the information-based complexity of stochastic programming, On the computational complexity of the probabilistic traveling salesman problem with deadlines, Risk-averse two-stage stochastic programs in furniture plants, Theoretical and semantic distinctions of fuzzy, possibilistic, and mixed fuzzy/possibilistic optimization, A general concept for solving linear multicriteria programming problems with crisp, fuzzy or stochastic values, A mixed integer programming model for multistage mean-variance post-tax optimization, Risk Aversion in Two-Stage Stochastic Integer Programming, A new approximation algorithm for obtaining the probability distribution function for project completion time, Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control, Uncertainty feature optimization: An implicit paradigm for problems with noisy data, Workforce planning at USPS mail processing and distribution centers using stochastic optimization, A successive convex approximation method for multistage workforce capacity planning problem with turnover, INTERACTIVE FUZZY PROGRAMMING BASED ON FRACTILE CRITERION OPTIMIZATION MODEL FOR TWO-LEVEL STOCHASTIC LINEAR PROGRAMMING PROBLEMS, Short-term hydropower production planning by stochastic programming, Sequential pairing of mixed integer inequalities, A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming, The Karush-Kuhn-Tucker optimality conditions for the optimization problem with fuzzy-valued objective function, On interval-valued nonlinear programming problems, Aggregation and discretization in multistage stochastic programming, The duality of option investment strategies for hedge funds, Strategic foreign reserves risk management: Analytical framework, A sample-path approach to optimal position liquidation, Multi-period stochastic portfolio optimization: block-separable decomposition, A two-stage stochastic integer programming approach as a mixture of branch-and-fix coordination and Benders decomposition schemes, A two-stage fuzzy robust integer programming approach for capacity planning of environmental management systems, A two-stage stochastic programming model for electric energy producers, Supply chain optimization of petroleum organization under uncertainty in market demands and prices, An airline scheduling model and solution algorithms under stochastic demands, Dynamic modeling and control of supply chain systems: A review, A stochastic programming approach for supply chain network design under uncertainty, On deviation measures in stochastic integer programming, On stages and consistency checks in stochastic programming, A factor \(\frac {1}{2}\) approximation algorithm for two-stage stochastic matching problems, Total allowable catch for managing squat lobster fishery using stochastic nonlinear programming, Decomposition with branch-and-cut approaches for two-stage stochastic mixed-integer programming, Computational complexity of stochastic programming problems, Convexity and decomposition of mean-risk stochastic programs, Tractable approximations to robust conic optimization problems, Hedging uncertainty: approximation algorithms for stochastic optimization problems, SPAR: Stochastic Programming with Adversarial Recourse, Event tree based sampling, Exact solutions to a class of stochastic generalized assignment problems, Combined Monte Carlo sampling and penalty method for Stochastic nonlinear complementarity problems, Convergence theory for nonconvex stochastic programming with an application to mixed logit, Solving a class of stochastic mixed-integer programs with branch and price, Simple integer recourse models: convexity and convex approximations, Assessing solution quality in stochastic programs, Solving multistage asset investment problems by the sample average approximation method, A cooperation model based on CVaR measure for a two-stage supply chain, Horizon and stages in applications of stochastic programming in finance, Two-stage stochastic problems with correlated normal variables: computational experiences, A management system for decompositions in stochastic programming, Stochastic programming: potential hazards when random variables reflect market interaction, Some insights into the solution algorithms for SLP problems, Integrating stochastic programming and decision tree techniques in land conversion problems, Optimal control of investments for quality of supply improvement in electrical energy distribution networks, Bounds and Approximations for Multistage Stochastic Programs, Dynamic asset allocation for varied financial markets under regime switching framework, Reverse logistics network design and planning utilizing conditional value at risk, A combined stochastic programming and optimal control approach to personal finance and pensions, The convergent results about approximating fuzzy random minimum risk problems, A stochastic inventory routing problem for infectious medical waste collection, Interactive Fuzzy Decision Making for Multiobjective Fuzzy Random Linear Programming Problems and Its Application to a Crop Planning Problem, Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs, A unified approach for different concepts of robustness and stochastic programming via non-linear scalarizing functionals, Logistics planning under uncertainty for disposition of radioactive wastes, Addressing capacity uncertainty in resource-constrained assignment problems, The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification, A primal-dual decomposition algorithm for multistage stochastic convex programming, Optimal security liquidation algorithms, Treasury management model with foreign exchange exposure, Process optimization under insufficient experimental information in the phase of service, Conditional value-at-risk in stochastic programs with mixed-integer recourse, A family of stochastic programming test problems based on a model for tactical manpower planning, Minimum Spanning Tree under Explorable Uncertainty in Theory and Experiments, A distributionally ambiguous two-stage stochastic approach for investment in renewable generation, Risk-averse stochastic optimal control: an efficiently computable statistical upper bound, Multi-modal and multi-route transportation problem for hazardous materials under uncertainty, Coping with shortages caused by disruptive events in automobile supply chains, A branch‐and‐cut algorithm for the irregular strip packing problem with uncertain demands, A parallel hub-and-spoke system for large-scale scenario-based optimization under uncertainty, Appraising the convenience of a call-based dynamical hedging strategy for an oil-company, Multiobjective land–water allocation model for sustainable agriculture with predictive stochastic yield response, Managing quality, supplier selection, and cold‐storage contracts in agrifood supply chain through stochastic optimization, Optimality conditions in optimization under uncertainty, Multiperiod transshipment location–allocation problem with flow synchronization under stochastic handling operations, Two‐stage stochastic minimum s − t cut problems: Formulations, complexity and decomposition algorithms, A Sequential Quadratic Programming Algorithm for Nonsmooth Problems with Upper- \({\boldsymbol{\mathcal{C}^2}}\) Objective, Déploiement et Redéploiement des Véhicules Ambulanciers dans la Gestion d'un Service Préhospitalier d'Urgence, A machine learning optimization approach for last-mile delivery and third-party logistics, Recent advances in nonconvex semi-infinite programming: applications and algorithms, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, A hybrid genetic algorithm for scheduling jobs sharing multiple resources under uncertainty, Complementarity formulation of games with random payoffs, Risk‐averse optimization and resilient network flows, Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball, The Strategic Design of Forest Industry Supply Chains, On a Multi-stage Stochastic Programming Model for Inventory Planning, Modeling the Emergency Service Network of Police Special Forces Units for High-Risk Law Enforcement Operations, An effective global algorithm for worst-case linear optimization under polyhedral uncertainty, A three-stage stochastic optimization model integrating 5G technology and UAVs for disaster management, A scenario-based stochastic programming approach for technology and capacity planning, Levinson's type generalization of the Edmundson-Lah-Ribarič inequality