Scenarios and Policy Aggregation in Optimization Under Uncertainty

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scientific article; zbMATH DE number 773966
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A general algorithm for solving two-stage stochastic mixed 0-1 first-stage problems
On stochastic dynamic programming for solving large-scale planning problems under uncertainty
Enhancements of two-stage stochastic decomposition
A survey on metaheuristics for stochastic combinatorial optimization
Tracking error: a multistage portfolio model
An XML-based schema for stochastic programs
Analysis of stochastic problem decomposition algorithms in computational grids
On \(BFC-MSMIP\) strategies for scenario cluster partitioning, and twin node family branching selection and bounding for multistage stochastic mixed integer programming
Enhanced-interval linear programming
Supply chain design under uncertainty using sample average approximation and dual decomposition
Using scenario trees and progressive hedging for stochastic inventory routing problems
CORO, a modeling and an algorithmic framework for oil supply, transformation and distribution optimization under uncertainty
Distributional efficiency in multiobjective stochastic linear programming
Structural properties of the progressive hedging algorithm
On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
A diagonal quadratic approximation method for large scale linear programs
Survey of mathematical programming models in air pollution management
Strategic financial risk management and operations research
Modelling and analysis of multistage stochastic programming problems: A software environment
A variable-penalty alternating directions method for convex optimization
A branch and bound method for stochastic global optimization
Robust solutions of uncertain linear programs
Dual decomposition in stochastic integer programming
Application of the scenario aggregation approach to a two-stage, stochastic, common component, inventory problem with a budget constraint
Inexact subgradient methods with applications in stochastic programming
Sensitivity method for basis inverse representation in multistage stochastic linear programming problems
Data parallel computing for network-structured optimization problems
Computational aspects in applied stochastic control
Duality and statistical tests of optimality for two stage stochastic programs
Barycentric scenario trees in convex multistage stochastic programming
A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs
Decomposition methods in stochastic programming
Grey integer programming: an application to waste management planning under uncertainty
Solving long-term financial planning problems via global optimization
BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0--1 programs.
Financial planning via multi-stage stochastic optimization.
A stochastic 0-1 program based approach for the air traffic flow management problem
New strategies for stochastic resource-constrained project scheduling
New solution approaches for the capacitated supplier selection problem with total quantity discount and activation costs under demand uncertainty
Chance-constrained economic dispatch with renewable energy and storage
Optimization methods for petroleum fields development and production systems: a review
Monotone operator theory in convex optimization
Stochastic programming for qualification management of parallel machines in semiconductor manufacturing
Multiperiod portfolio investment using stochastic programming with conditional value at risk
Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
A stochastic production planning problem in hybrid manufacturing and remanufacturing systems with resource capacity planning
Two-stage stochastic variational inequalities: an ERM-solution procedure
Stochastic variational inequalities: single-stage to multistage
Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter
Solving stochastic programming problems with risk measures by progressive hedging
Mixed-integer programming models for optimal constellation scheduling given cloud cover uncertainty
A unified framework for stochastic optimization
BBPH: using progressive hedging within branch and bound to solve multi-stage stochastic mixed integer programs
Large-scale unit commitment under uncertainty: an updated literature survey
Managing congestion in a multi-modal transportation network under biomass supply uncertainty
Fix-and-optimize procedures for solving the long-term unit commitment problem with pumped storages
Computation of weighted sums of rewards for concurrent MDPs
A progressive hedging method for the optimization of social engagement and opportunistic IoT problems
Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
A multicriteria optimization model for sustainable forest management under climate change uncertainty: an application in Portugal
A parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problems
A stabilised scenario decomposition algorithm applied to stochastic unit commitment problems
Decision rule approximations for the risk averse reservoir management problem
Risk management for forestry planning under uncertainty in demand and prices
A stochastic production planning problem with nonlinear cost
An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees
Measuring and maximizing resilience of freight transportation networks
Duality gaps in nonconvex stochastic optimization
A Lagrangian dual method with self-concordant barriers for multi-stage stochastic convex programming
Applying the minimax criterion in stochastic recourse programs
Integration of progressive hedging and dual decomposition in stochastic integer programs
A scalable solution framework for stochastic transmission and generation planning problems
Parallel decomposition of multistage stochastic programming problems
Schumann, a modeling framework for supply chain management under uncertainty
Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
Network planning under uncertainty with an application to hydropower generation
Epigraphical nesting: A unifying theory for the convergence of algorithms
Scenario analysis via bundle decomposition
SOCRATES: A system for scheduling hydroelectric generation under uncertainty
Algorithms for the solution of stochastic dynamic minimax problems
Mixing stochastic dynamic programming and scenario aggregation
On the formulation of stochastic linear programs using algebraic modelling languages
Second-order scenario approximation and refinement in optimization under uncertainty
An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
On augmented Lagrangian decomposition methods for multistage stochastic programs
Solving multistage stochastic network programs on massively prallel computers
On solving stochastic production planning problems via scenario modelling
The sample average approximation method for empty container repositioning with uncertainties
A so-called cluster Benders decomposition approach for solving two-stage stochastic linear problems
Lagrangian decomposition for large-scale two-stage stochastic mixed 0-1 problems
Simulation-based confidence bounds for two-stage stochastic programs
Portfolio optimization for wealth-dependent risk preferences
Re-solving stochastic programming models for airline revenue management
Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs
Dynamic job assignment: a column generation approach with an application to surgery allocation
A finite \(\epsilon\)-convergence algorithm for two-stage stochastic convex nonlinear programs with mixed-binary first and second-stage variables
Scenario-based learning for stochastic combinatorial optimisation
Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
Dynamic stochastic approximation for multi-stage stochastic optimization

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