scientific article; zbMATH DE number 2121076
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Publication:4830009
zbMATH Open1115.90001MaRDI QIDQ4830009FDOQ4830009
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Publication date: 2 December 2004
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- 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
- Two-stage stochastic standard quadratic optimization
- Regularizations for stochastic linear variational inequalities
- Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
- Stochastic mathematical programs with hybrid equilibrium constraints
- A survey of adjustable robust optimization
- Weak continuity of risk functionals with applications to stochastic programming
- Maximizing expected utility over a knapsack constraint
- Regularization of stochastic variational inequalities and a comparison of an \(L_p\) and a sample-path approach
- A Polynomial Time Algorithm for the Stochastic Uncapacitated Lot-Sizing Problem with Backlogging
- Stability analysis of stochastic programs with second order dominance constraints
- Integer set reduction for stochastic mixed-integer programming
- Stochastic variational inequalities: single-stage to multistage
- Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs
- Approximating stationary points of stochastic optimization problems in Banach space
- A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints
- Statistical estimation of composite risk functionals and risk optimization problems
- INTEREST: A reference-point-based interactive procedure for stochastic multiobjective programming problems
- The value of rolling-horizon policies for risk-averse hydro-thermal planning
- Challenges in Enterprise Wide Optimization for the Process Industries
- Mixed integer linear programming formulations for probabilistic constraints
- Extensions of stochastic optimization results to problems with system failure probability functions
- Parallel implementation of augmented Lagrangian method within L-shaped method for stochastic linear programs
- Regularization methods for optimization problems with probabilistic constraints
- An efficient framework for optimal robust stochastic system design using stochastic simulation
- Inexact restoration approach for minimization with inexact evaluation of the objective function
- Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support
- A stochastic programming approach for planning horizons of infinite horizon capacity planning problems
- Variable-number sample-path optimization
- Robust quadratic programming with mixed-integer uncertainty
- The two-echelon stochastic multi-period capacitated location-routing problem
- Introducing environmental constraints in generation expansion problems
- Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints
- Easy distributions for combinatorial optimization problems with probabilistic constraints
- A stochastic program to evaluate disruption mitigation investments in the supply chain
- Improved handling of uncertainty and robustness in set covering problems
- Two-Stage Stochastic Programming with Linearly Bi-parameterized Quadratic Recourse
- Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints
- Solving linear unconstrained problems of combinatorial optimization on arrangements under stochastic uncertainty
- Multi-stage recovery robustness for optimization problems: A new concept for planning under disturbances
- Bounds in multistage linear stochastic programming
- Particle methods for stochastic optimal control problems
- Informed production optimization in hydrocarbon reservoirs
- Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures
- On a Multi-stage Stochastic Programming Model for Inventory Planning
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