Applications of Stochastic Programming

From MaRDI portal
Publication:5464453

DOI10.1137/1.9780898718799zbMath1068.90002OpenAlexW2495956339MaRDI QIDQ5464453

No author found.

Publication date: 17 August 2005

Full work available at URL: https://doi.org/10.1137/1.9780898718799




Related Items (67)

On the impact of deep learning-based time-series forecasts on multistage stochastic programming policiesRobust scenario-based value-at-risk optimizationTotal variation bounds on the expectation of periodic functions with applications to recourse approximationsAn algorithm for moment-matching scenario generation with application to financial portfolio optimisationAre quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?Towards a sustainable power grid: stochastic hierarchical planning for high renewable integrationRouting problem for unmanned aerial vehicle patrolling missions -- a progressive hedging algorithmRisk aversion in multistage stochastic programming: a modeling and algorithmic perspectiveSupplier selection in the processed food industry under uncertaintyScenario reduction for stochastic programs with conditional value-at-riskA computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decompositionUnnamed ItemCapacity planning for effective cohorting of hemodialysis patients during the coronavirus pandemic: a case studyAn ADMM algorithm for two-stage stochastic programming problemsUnnamed ItemImproving constants of strong convexity in linear stochastic programmingRelating single-scenario facets to the convex hull of the extensive form of a stochastic single-node flow polytopeParallel PIPS-SBB: multi-level parallelism for stochastic mixed-integer programsDynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approachManaging quality, supplier selection, and cold‐storage contracts in agrifood supply chain through stochastic optimizationMultiperiod transshipment location–allocation problem with flow synchronization under stochastic handling operationsTwo‐stage stochastic minimum s − t cut problems: Formulations, complexity and decomposition algorithmsParametric level-set inverse problems with stochastic background estimationCost/risk balanced management of scarce resources using stochastic programmingMultistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rulesScenario generation for stochastic optimization problems via the sparse grid methodA redundancy detection algorithm for fuzzy stochastic multi-objective linear fractional programming problemsShort-term electricity procurement: a rolling horizon stochastic programming approachUnnamed ItemAsset market games of survival: a synthesis of evolutionary and dynamic gamesAn Embarrassingly Parallel Method for Large-Scale Stochastic ProgramsNew algorithmic framework for conditional value at risk: application to stochastic fixed-charge transportationForestry management under uncertaintySimulation-Based Optimality Tests for Stochastic ProgramsA progressive hedging method for the optimization of social engagement and opportunistic IoT problemsA loose Benders decomposition algorithm for approximating two-stage mixed-integer recourse modelsA dynamic stochastic programming model for international portfolio managementCalculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk controlRelational linear programmingHigher-order total variation bounds for expectations of periodic functions and simple integer recourse approximationsStochastic programs with binary distributions: structural properties of scenario trees and algorithmsA quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourseA parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problemsFinancial scenario generation for stochastic multi-stage decision processes as facility location problemsAn algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario treesMeasuring and maximizing resilience of freight transportation networksScenario aggregation for supply chain quantity-flexibility contractOn solving strong multistage nonsymmetric stochastic mixed 0-1 problemsA Convex Approximation for Two-Stage Mixed-Integer Recourse Models with a Uniform Error BoundDynamic portfolio optimization: time decomposition using the maximum principle with a scenario approachA structure-conveying modelling language for mathematical and stochastic programmingStochastic programming for funding mortgage poolsAssessing solution quality in stochastic programsDynamic portfolio allocation in goals-based wealth managementA new convergent hybrid learning algorithm for two-stage stochastic programsPenalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectationUnnamed ItemOn stochastic dynamic programming for solving large-scale planning problems under uncertaintyScenario Reduction Techniques in Stochastic ProgrammingConvergent bounds for stochastic programs with expected value constraintsGeneralized adaptive partition-based method for two-stage stochastic linear programs: geometric oracle and analysisDynamic dispatching and preventive maintenance for parallel machines with dispatching-dependent deteriorationHybrid metaheuristics for stochastic constraint programmingA Unified Framework for Multistage Mixed Integer Linear OptimizationAn algorithm for two-stage stochastic mixed-integer nonlinear convex problemsDynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped methodTwo-stage linear decision rules for multi-stage stochastic programming




This page was built for publication: Applications of Stochastic Programming