Stochastic two-stage programming
This book -- representing the author's habilitation thesis -- contributes to the methodology for two-stage stochastic programming models. It begins with recalling known definitions and characterizations. Then, two-stage stochastic programs are introduced in the first part: In a random environment, a decision \(x\) -- taken a priori -- can be corrected after the realization of the random variables by taking a second stage decision \(y\). The goal is then to minimize the total expected costs arising in the first and second stage subject to some remaining deterministic constraints. In Part II duality relations are investigated for convex optimization problems with supply/demand and prices treated as parameters. Based on these results the subdifferentiability and continuity of the optimal value function is studied. Approximations to stochastic two-stage programs by approximations of the integrands as well as by discretization of the underlying probability distribution of the random parameters are treated in Part III. Applying the stability criterion, the existence of bilinear functions is shown, which minorize (majorize) the integrand optimally with respect to the mean value. These minorants (majorants) support the integrand at generalized barycenters of the simplicial faces of the involved \(\times\)-simplices. After presenting an illustrative survey of existing approaches to two-stage stochastic programs in Part IV, the implementation of the barycentric approximation scheme is discussed in Part V. Some numerical experiences are reported in Part VI. The present interesting volume is well suited for dealing with two-stage stochastic programming problems in theory and practice.
- Two-Stage Stochastic Programs with Mixed Probabilities
- Two-stage stochastic programming problems involving multi-choice parameters
- Two-stage stochastic mixed-integer programs: algorithms and insights
- Two‐stage stochastic integer programming: a survey
- Stability in Two-Stage Stochastic Programming
- Two-stage linear decision rules for multi-stage stochastic programming
- Two-stage stochastic programming problems involving interval discrete random variables
- scientific article; zbMATH DE number 3858860
- Efficient solution selection for two-stage stochastic programs
- Convergent bounds for stochastic programs with expected value constraints
- Challenges in stochastic programming
- Cut sharing for multistage stochastic linear programs with interstage dependency
- Barycentric scenario trees in convex multistage stochastic programming
- Implementing bounds-based approximations in convex-concave two-stage stochastic programming
- Management of non-maturing deposits by multistage stochastic programming
- Epi-convergent discretizations of stochastic programs via integration quadratures
- The approximation of separable stochastic programs
- Continuous approximation schemes for stochastic programs
- Second-order scenario approximation and refinement in optimization under uncertainty
- The stochastic interdiction median problem with disruption intensity levels
- Multiobjective two-stage stochastic programming problems with interval discrete random variables
- Two-stage combinatorial optimization problems under risk
- General properties of two-stage stochastic programming problems with probabilistic criteria
- Deviation measures in linear two-stage stochastic programming
- Risk-averse two-stage stochastic programs in furniture plants
- Aggregation and discretization in multistage stochastic programming
- Multi-period stochastic portfolio optimization: block-separable decomposition
- Multistage stochastic convex programs: duality and its implications
- Multiperiod portfolio optimization with terminal liability: bounds for the convex case
- Two-stage optimization problems with multivariate stochastic order constraints
- Two-stage stochastic lot-sizing problem under cost uncertainty
- scientific article; zbMATH DE number 1187207 (Why is no real title available?)
- scientific article; zbMATH DE number 495877 (Why is no real title available?)
- Multistage stochastic programming: Error analysis for the convex case
- Two‐stage stochastic integer programming: a survey
- scientific article; zbMATH DE number 1389742 (Why is no real title available?)
- Two-Stage Stochastic Programming with Linearly Bi-parameterized Quadratic Recourse
- Two-stage stochastic programming problems involving interval discrete random variables
- Interactive fuzzy stochastic two-level linear programming with simple recourse
- Distributionally Robust Two-Stage Stochastic Programming
- Approximation Algorithms for 2-Stage Stochastic Optimization Problems
- Convergence properties of two-stage stochastic programming
- Multistage quadratic stochastic programming
- On the safe side of stochastic programming: bounds and approximations
- Distributionally robust optimization
This page was built for publication: Stochastic two-stage programming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1310805)
