scientific article; zbMATH DE number 2121076

zbMATH Open1115.90001MaRDI QIDQ4830009FDOQ4830009

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Publication date: 2 December 2004

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Mathematics Subject Classification ID

Stochastic programming (90C15) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06) General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to operations research and mathematical programming (90-00)

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

• On the number of stages in multistage stochastic programs
• Solving joint chance constrained problems using regularization and Benders' decomposition
• Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
• Mathematical programming approaches for generating \(p\)-efficient points
• Randomized progressive hedging methods for multi-stage stochastic programming
• The effect of regularization in portfolio selection problems
• A discussion of probability functions and constraints from a variational perspective
• Intra market optimization for express package carriers with station to station travel and proportional sorting
• Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space
• A polyhedral study on chance constrained program with random right-hand side
• Planning working time accounts under demand uncertainty
• The Benders decomposition algorithm: a literature review
• A survey on risk-averse and robust revenue management
• A scalable bounding method for multistage stochastic programs
• An inner-outer approximation approach to chance constrained optimization
• Two-stage non-cooperative games with risk-averse players
• \(K\)-adaptability in stochastic optimization
• Gradient and Hessian of joint probability function with applications on chance-constrained programs
• Robust decisions under risk for imprecise probabilities
• Convergence of discrete approximation for differential linear stochastic complementarity systems
• Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system
• Stochastic Lipschitz dynamic programming
• Stochastic decomposition applied to large-scale hydro valleys management
• Approximation algorithms for a class of stochastic selection problems with reward and cost considerations
• Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications
• Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
• Omega-CVaR portfolio optimization and its worst case analysis
• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• A stochastic gradient type algorithm for closed-loop problems
• Eventual convexity of probability constraints with elliptical distributions
• Stochastic dual dynamic integer programming
• On the convexity of level-sets of probability functions
• Adaptive discretization of convex multistage stochastic programs
• Second-order differentiability of probability functions
• Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
• Time-consistent approximations of risk-averse multistage stochastic optimization problems
• Medium term scheduling of a hydro-thermal system using stochastic model predictive control
• Multiobjective optimization of expensive-to-evaluate deterministic computer simulator models
• Total allowable catch for managing squat lobster fishery using stochastic nonlinear programming
• Monotonic bounds in multistage mixed-integer stochastic programming
• Discrete analogues of continuous bivariate probability distributions
• Mathematical modeling of distributed catastrophic and terrorist risks
• Cardinality-constrained distributionally robust portfolio optimization
• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• Quantitative stability analysis of stochastic quasi-variational inequality problems and applications
• Two-stage stochastic optimization meets two-scale simulation
• The single-node dynamic service scheduling and dispatching problem
• A dynamic driver management scheme for less-than-truckload carriers
• Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
• Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
• An embarrassingly parallel method for large-scale stochastic programs
• Minimizing a stochastic convex function subject to stochastic constraints and some applications
• Decomposition of large-scale stochastic optimal control problems
• (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
• Scenario Tree Generation for Multi-stage Stochastic Programs
• Causal transport in discrete time and applications
• On intersection of two mixing sets with applications to joint chance-constrained programs
• Developing an integrated hub location and revenue management model considering multi-classes of customers in the airline industry
• A decomposition method for distributionally-robust two-stage stochastic mixed-integer conic programs
• Robustness of stochastic programs with endogenous randomness via contamination
• Prescriptive selection of machine learning hyperparameters with applications in power markets: retailer's optimal trading
• Gradient formulae for probability functions depending on a heterogenous family of constraints
• Data-Driven Optimization: A Reproducing Kernel Hilbert Space Approach
• An L-shaped method with strengthened lift-and-project cuts
• Distributionally robust optimization with moment ambiguity sets
• Discrete approximation and quantification in distributionally robust optimization
• On the scenario-tree optimal-value error for stochastic programming problems
• Distributionally robust polynomial chance-constraints under mixture ambiguity sets
• Joint chance constrained programming with dependent parameters
• Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation
• Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
• Stochastic tensor complementarity problem with discrete distribution
• Asymptotic behavior of solutions: an application to stochastic NLP
• Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
• The value of the right distribution in stochastic programming with application to a Newsvendor problem
• Epi-regularization of risk measures
• Reconstruction of a compactly supported sound profile in the presence of a random background medium
• On rates of convergence for sample average approximations in the almost sure sense and in mean
• On decomposition and multiobjective-based column and disjunctive cut generation for MINLP
• Valuation and pricing of electricity delivery contracts: the producer's view
• Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Risk-averse models in bilevel stochastic linear programming
• Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
• Optimization algorithms for resilient path selection in networks
• Scheduled service network design with quality targets and stochastic travel times
• Resource allocation for contingency planning: an inexact proximal bundle method for stochastic optimization
• Multi-stage distributionally robust optimization with risk aversion
• Robust maximum weighted independent-set problems on interval graphs
• Confidence regions of stochastic variational inequalities: error bound approach
• On quantitative stability in infinite-dimensional optimization under uncertainty
• Designing a two-echelon distribution network under demand uncertainty
• Provably Near-Optimal Approximation Schemes for Implicit Stochastic and Sample-Based Dynamic Programs
• A unified framework for multistage mixed integer linear optimization
• Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
• On the employment of inexact restoration for the minimization of functions whose evaluation is subject to errors
• Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning
• Hahn-Banach and sandwich theorems for equivariant vector lattice-valued operators and applications
• Bounds for probabilistic programming with application to a blend planning problem
• Regularized sample average approximation for high-dimensional stochastic optimization under low-rankness

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