scientific article; zbMATH DE number 772850

zbMATH Open0834.90098MaRDI QIDQ4838490FDOQ4838490

Authors: András Prékopa 

Publication date: 12 July 1995

Title of this publication is not available (Why is that?)

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zbMATH Keywords

moment problemscase studiessolution techniquesmultistage stochastic programsprobability approximationrandom linear programs

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Linear programming (90C05) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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• On-line portfolio selection using stochastic programming
• Mathematical programming approaches for generating \(p\)-efficient points
• Alternate risk measures for emergency medical service system design
• A discussion of probability functions and constraints from a variational perspective
• Minimizing value-at-risk in single-machine scheduling
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• Post-tax optimization with stochastic programming
• Robust two-stage stochastic linear optimization with risk aversion
• A solution concept for fuzzy multiobjective programming problems based on convex cones.
• Bounds for increasing multi-state consecutive \(k\)-out-of-\(r\)-from-\(n\): \(F\) system with equal components probabilities
• Stochastic approach versus multiobjective approach for obtaining efficient solutions in stochastic multiobjective programming problems
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• Hybrid simulated annealing and MIP-based heuristics for stochastic lot-sizing and scheduling problem in capacitated multi-stage production system
• \(K\)-adaptability in stochastic optimization
• Gradient and Hessian of joint probability function with applications on chance-constrained programs
• Dual-bounded generating problems: Efficient and inefficient points for discrete probability distributions and sparse boxes for multidimensional data
• Optimization of probabilistic multiple response surfaces
• A distribution map for the one-median location problem on a network
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Computational assessment of distributed decomposition methods for stochastic linear programs
• Challenges in stochastic programming
• Multi-horizon stochastic programming
• Investment and the dynamic cost of income uncertainty: the case of diminishing expectations in agriculture
• A probabilistically constrained model predictive controller
• A constraint sampling approach for multi-stage robust optimization
• Beam search heuristic to solve stochastic integer problems under probabilistic constraints
• Fuzzy random programming with equilibrium chance constraints
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Convexity and convex approximations of discrete-time stochastic control problems with constraints
• Second-order differentiability of probability functions
• Convexity of Gaussian chance constraints and of related probability maximization problems
• Duality theory in fuzzy linear programming problems with fuzzy coefficients
• Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
• The stochastic bottleneck linear programming problem
• Satisfactory solution concepts and their relations for stochastic multiobjective programming problems
• Easy distributions for combinatorial optimization problems with probabilistic constraints
• On two-stage convex chance constrained problems
• A parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problems
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• A preliminary set of applications leading to stochastic semidefinite programs and chance-constrained semidefinite programs
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• Performance assessment and design of abstracted models for stochastic hybrid systems through a randomized approach
• On control of discrete-time state-dependent jump linear systems with probabilistic constraints: a receding horizon approach
• On stages and consistency checks in stochastic programming
• Log-concavity and strong log-concavity: a review
• The discrete moment problem with fractional moments
• Multistage stochastic programming with fuzzy probability distribution
• Using the technique of scalarization to solve the multiobjective programming problems with fuzzy coefficients
• Extreme value estimation for a function of a random sample using binomial moments scheme and Boolean functions of events
• On the concavity of multivariate probability distribution functions
• Global probability maximization for a Gaussian bilateral inequality in polynomial time
• Stochastic geometric programming with joint probabilistic constraints
• On joint probabilistic constraints with Gaussian coefficient matrix
• Probability bounds given by hypercherry trees
• Certainty equivalent measures of risk
• On the Hungarian inventory control model
• Workforce planning at USPS mail processing and distribution centers using stochastic optimization
• On deviation measures in stochastic integer programming
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• Optimization of the quantile criterion for the convex loss function by a stochastic quasigradient algorithm
• Integrated production planning and order acceptance under uncertainty: a robust optimization approach
• On the relationship between the discrete and continuous bounding moment problems and their numerical solutions
• Duality theory in interval-valued linear programming problems
• Multi-objective stochastic programming for portfolio selection
• Fuzzy optimization problems based on the embedding theorem and possibility and necessity measures
• Inverse stochastic dominance constraints and rank dependent expected utility theory
• The discrete moment method for the numerical integration of piecewise higher order convex functions
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• Supply capacity acquisition and allocation with uncertain customer demands
• An XML-based schema for stochastic programs
• Data-driven chance constrained stochastic program
• Stochastic nonlinear resource allocation problem
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• On bounding the union probability using partial weighted information
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• Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
• Risk-averse two-stage stochastic programming with an application to disaster management
• Testing successive regression approximations by large-scale two-stage problems
• Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
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• Robust path choice in networks with failures
• Augmented Lagrangian method for probabilistic optimization
• Some equilibrium problems under uncertainty and random variational inequalities
• Risk optimization with \(p\)-order conic constraints: a linear programming approach
• A comment on ``Computational complexity of stochastic programming problems
• On the computational complexity and generalization properties of multi-stage and stage-wise coupled scenario programs
• A heuristic approach for resource constrained project scheduling with uncertain activity durations
• Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer
• A model for dynamic chance constraints in hydro power reservoir management
• Sample average approximation method for chance constrained programming: Theory and applications
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• Gradient-based simulation optimization under probability constraints
• Solving planning and design problems in the process industry using mixed integer and global optimization
• Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
• KKT optimality conditions in interval valued multiobjective programming with generalized differentiable functions
• Uniform quasi-concavity in probabilistic constrained stochastic programming
• A Stochastic Programming Model
• On distributionally robust chance-constrained linear programs

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