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Schriftenreihen und Sammelbände » Einrichtungen » Institut für Mathematik » Stochastic Programming E-Print Series ... » Beiträge

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Stochastic Programming E-Print Series

224 Einträge vorhanden
2014 – Nr. 2Sen, Suvrajeet; Liu, Yifan:
Mitigating Uncertainty via Compromise Decisions in Two-stage Stochastic Linear Programming
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2014 – Nr. 1Lejeune, Miguel A.; Shen, Siqian:
Multi-Objective Probabilistically Constrained Programming with Variable Risk: New Models and Applications
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2013 – Nr. 8Qi, Yunwei; Sen, Suvrajeet:
Ancestral Benders' Cuts and Multi-term Disjunctions for Mixed-Integer Recourse Decisions in Stochastic Programming
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2013 – Nr. 7Emich, Konstantin; Henrion, René; Römisch, Werner:
Conditioning of linear-quadratic two-stage stochastic optimization problems
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2013 – Nr. 6Krogh Boomsma, Trine; Juul, Nina; Fleten, Stein-Erik:
Bidding in sequential electricity markets: The Nordic case
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2013 – Nr. 5Arnold, T.; Henrion, R.; Möller, A.; Vigerske, S.:
A mixed-integer stochastic nonlinear optimization problem with joint probabilistic constraints
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2013 – Nr. 4Kovacevic, Raimund M.; Pflug, Georg Ch.:
Electricity Swing Option Pricing by Stochastic Bilevel Optimization: a Survey and New Approaches
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2013 – Nr. 3Fábián, Csaba I.:
Computational aspects of risk-averse optimization in two-stage stochastic models
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2013 – Nr. 2Pichler, Alois:
The Natural Banach Space for Version Independent Risk Measures
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2013 – Nr. 1Romeijnders, Ward; van der Vlerk, Maarten H.; Klein Haneveld, Willem K.:
Convex approximations for totally unimodular integer recourse models: A uniform error bound
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2012 – Nr. 10Romeijnders, Ward; van der Vlerk, Maarten H.:
Convex hull approximation of TU integer recourse models: Counterexamples, sufficient conditions, and special cases
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2012 – Nr. 9Kogan, Alexander; Lejeune, Miguel A.:
Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix
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2012 – Nr. 8Vekas, Peter; van der Vlerk, Maarten H.; Klein Haneveld, Willem K.:
Optimizing existing railway timetables by means of stochastic programming
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2012 – Nr. 7Pennanen, Teemu:
Introduction to convex optimization in financial markets
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2012 – Nr. 6Liu, Yongchao; Römisch, Werner; Xu, Huifu:
Quantitative Stability Analysis of Stochastic Generalized Equations
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2012 – Nr. 5Heitsch, Holger; Leövey, Hernan; Römisch, Werner:
Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
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2012 – Nr. 4Guiges, Vincent; Römisch, Werner:
SDDP for multistage stochastic linear programs based on spectral risk measures
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2012 – Nr. 3Sen, Suvrajeet; Zhou, Zhihong:
Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming
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2012 – Nr. 2Maggioni, Francesca; Allevi, Elisabetta; Bertocchi, Marida:
Measures of information in multi-stage stochastic programming
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2012 – Nr. 1Henrion, René:
Gradient estimates for Gaussian distribution functions: Application to probabilistically constrained optimization problems
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2011 – Nr. 4Pichler, Alois:
On the Geometry of Acceptability Functionals
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2011 – Nr. 3Pflug, Georg Ch.; Pichler, Alois:
Multistage Optimization
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2011 – Nr. 2Henrion, René; Möller, Andris:
A gradient formula for linear chance constraints under Gaussian distribution
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2011 – Nr. 1Pennanen, Teemu; Perkkiö, Ari-Pekka:
Stochastic programs without duality gaps
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2010 – Nr. 9Zverovich, Victor; Fábián, Csaba I.; Ellison, Francis; Mitra, Gautam:
A computational study of a solver system for processing two-stage stochastic linear programming problems
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2010 – Nr. 8Lejeune, Miguel; Samatli-Pac, Gülay:
Construction of Risk-Averse Enhanced Index Funds
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2010 – Nr. 7Guigues, Vincent; Römisch, Werner:
Sampling-based decomposition methods for risk-averse multistage programs
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2010 – Nr. 6van Ackooij, W.; Henrion, R.; Möller, A.; Zorgati, R.:
On joint probabilistic constraints with Gaussian coefficient matrix
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2010 – Nr. 5Lejeune, Miguel A.:
Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
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2010 – Nr. 4Pennanen, Teemu:
Convex duality in stochastic programming and mathematical finance
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2010 – Nr. 3Liu, Yongchao; Xu, Huifu:
Stability and sensitivity analysis of stochastic programs with second order dominance constraints
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2010 – Nr. 2Branda, Martin:
Reformulation of general chance constrained problems using the penalty functions
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2010 – Nr. 1Girardeau, Pierre:
A comparison of sample-based stochastic optimal control methods
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2009 – Nr. 9Dupacová, J.:
Uncertainties in minimax stochastic programs
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2009 – Nr. 8Faria, E.; Fleten, St..-E.:
Day-Ahead Market Bidding for a Nordic Hydropower Producer: Taking the Elbas Market into Account
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2009 – Nr. 7Miller, N.; Ruszczynski, A.:
Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
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2009 – Nr. 6Van Ackooij, W.; Henrion, R.; Möller, A.; Zorgati, R.:
On probabilistic constraints induced by rectangular sets and multivariate normal distributions
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2009 – Nr. 5Pflug, G. Ch.; Römisch, W.:
The role of information in multi-period risk measurement
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2009 – Nr. 4Ntaimo, L.:
Fenchel Decomposition for Stochastic Mixed-Integer Programming
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2009 – Nr. 3Zverovich, V.; Fábián, C.; Ellison, F.; Mitra, G.:
A computational study of a solver system for processing two-stage stochastic linear programming problems
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2009 – Nr. 2Fábián, C.I.; Mitra, G.; Roman, D.; Zverovich, V.:
An enhanced model for portfolio choice with SSD criteria: a constructive approach
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2009 – Nr. 1Andrieu, L.; Henrion, R.; Römisch, W.:
A model for dynamic chance constraints in hydro power reservoir management
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2008 – Nr. 14Xu, Huifu; Zhang, Dali:
Stochastic Nash Equilibrium Problems: Sample Average Approximation and Applications
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2008 – Nr. 13Branda, Martin; Dupacova, Jitka:
Approximations and contamination bounds for probabilistic programs
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2008 – Nr. 12Mehrotra, Sanjay; Ozevin, M. Gokhan:
Convergence Analysis of a Weighted Barrier Decomposition Algorithm for Two Stage Stochastic Programming
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2008 – Nr. 11Küchler, Christian; Vigerske, Stefan:
Numerical Evaluation of Approximation Methods in Stochastic Programming
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2008 – Nr. 10Fabian, Csaba I.; Mitra, Gautam; Roman, Diana:
Processing Second-Order Stochastic Dominance models using cutting-plane representations
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2008 – Nr. 9Küchler, Christian:
On Stability of Multistage Stochastic Programs
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2008 – Nr. 8Heitsch, Holger; Römisch, Werner:
Scenario tree reduction for multistage stochastic programs
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2008 – Nr. 7Chen, Michael; Mehrotra, Sanjay:
Epi-convergent scenario generation method for stochastic problems via sparse grid
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2008 – Nr. 6Fleten, Stein-Erik; Wallace, Stein W.:
Delta-Hedging a Hydropower Plant Using Stochastic Programming
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2008 – Nr. 5Sing, Kavinesh J.; Philpott, Andy B.; Wood, R. Kevin:
Dantzig-Wolfe decomposition for solving multi-stage stochastic capacity-planning problems
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2008 – Nr. 4Philpott, A. B.; Guan, Z.:
On the convergence of stochastic dual dynamic programming and related methods
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2008 – Nr. 3Maggioni, Francesca; Kaut, Michal; Bertazzi, Luca:
Stochastic optimization models for a single-sink transportation problem
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2008 – Nr. 2Cremers, Maria L.A.G.; Klein Haneveld, Willem K.; van der Vlerk, Maarten H.:
A dynamic day-ahead paratransit planning problem
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2008 – Nr. 1Ntaimo, Lewis:
Disjunctive decomposition for two-stage stochastic mixed-binary programs with random recourse
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2007 – Nr. 12Henrion, Rene; Römisch, Werner:
On M-stationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling
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2007 – Nr. 11Römisch, Werner; Vigerske, Stefan:
Quantitative stability of fully random mixed-integer two-stage stochastic programs
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2007 – Nr. 10Fabian, Csaba I.; Veszpremi, Anna:
Algorithms for handling CVaR-constraints in dynamic stochastic programming models with applications to finance
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2007 – Nr. 9Küchler, Christian; Vigerske, Stefan:
Decomposition of Multistage Stochastic Programs with Recombining Scenraio Trees
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2007 – Nr. 8Chen, Michael; Mehrotra, Sanjay:
Self-concordant Tree and Decomposition Based Interior Point Methods for Stochastic Convex Optimization Problem
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2007 – Nr. 7Ntaimo, Lewis; Tanner, Matthew W.:
Computations with Disjunctive Cuts for Two-Stage Stochastic Mixed 0-1 Integer Programs
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2007 – Nr. 6Gollmer, Ralf; Gotzes, Uwe; Schultz, Rüdiger:
Second-Order Stochastic Dominance Constraints Induced by Mixed-Integer Linear Recourse
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2007 – Nr. 5Heinze, Thomas; Schultz, Rüdiger:
A Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives
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2007 – Nr. 4Gollmer, Ralf; Neise, Frederike; Schultz, Rüdiger:
Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
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2007 – Nr. 3Saxena, Anureet:
A Short Note on the Probabilistic Set Covering Problem
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2007 – Nr. 2Saxena, Anureet; Goyal, Vineet; Lejeune, Miguel:
MIP Reformulations of the Probabilistic Set Covering Problem
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2007 – Nr. 1Bonami, P.; Lejeune, M.A.:
An Exact Solution Approach for Portfolio Optimization Problems under Stochastic and Integer Constraints
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2006 – Nr. 23Homem-de-Mello, Tito:
On Rates of Convergence for Stochastic Optimization Problems Under Non-I.I.D. Sampling
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2006 – Nr. 22Kuhn, Daniel:
Convergent Bounds for Stochastic Programs with Expected Value Constraints
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2006 – Nr. 21Möller, Andris; Römisch, Werner; Weber, Klaus:
Airline Network Revenue Management by Multistage Stochastic Programming
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2006 – Nr. 20Eichhorn, Andreas; Römisch, Werner:
Stability of multistage stochastic programs incorporating polyhedral risk measures
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2006 – Nr. 19Kaut, Michal; Wallace, Stein W.:
Shape-based Scenario Generation using Copulas
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2006 – Nr. 18Guan, Yongpei; Ahmed, Shabbir; Nemhauser, George L.:
Cutting planes for multi-stage stochastic integer programs
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2006 – Nr. 17Ntaimo, Lewis; Sen, Suvrajeet:
A branch-and-cut algorithm for two-stage stochastic mixed-binary programs with continuous first-stage variables
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2006 – Nr. 16Fleten, Stein-Erik; Krogh Kristoffersen, Trine:
Short-term hydropower production planning by stochastic programming
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2006 – Nr. 15Henrion, René:
Some remarks on value-at-risk optimization
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2006 – Nr. 14Poojari, Chandra A.; Lucas, Cormac; Mitra, Gautam:
Robust solution and risk measures for a supply chain planning problem under uncertainty
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2006 – Nr. 13Henrion, René; Küchler, Christian; Römisch, Werner:
Scenario reduction in stochastic programming with respect to discrepancy distances
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2006 – Nr. 12Fleten, Stein-Erik; Lindset, Snorre:
Optimal Hedging Strategies for Multi-period Guarantees in the Presence of Transaction Costs: A Stochastic Programming Approach
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2006 – Nr. 11Panda, G.; Khan, D.A.; Ray, U.C.:
A JELS Stochastic inventory model with random demand
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2006 – Nr. 10Römisch, Werner; Wets, Roger J.-B.:
Stability of ε-approximate solutions to convex stochastic programs
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2006 – Nr. 9Henrion, René; Strugarek, Cyrille:
Convexity of chance constraints with independent random variables
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2006 – Nr. 8Fleten, Stein-Erik; Krogh Kristoffersen, Trine:
Stochastic programming for optimizing bidding strategies of a nordic hydropower producer
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2006 – Nr. 7Heitsch, Holger; Römisch, Werner:
Scenario tree modelling for multistage stochastic programs
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2006 – Nr. 6Olieman, Niels J.; van Putten, Bram:
Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
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2006 – Nr. 5Morton, David P.; Pan, Feng; Saeger, Kevin J.:
Models for nuclear smuggling interdiction
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2006 – Nr. 4Erdogan, E.; Iyengar, G.:
On two-stage convex chance constrained problems
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2006 – Nr. 3Poojari, Chandra A.; Varghese, Boby:
Genetic algorithm based technique for solving chance constrained problems
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2006 – Nr. 2Dupacová, Jitka:
Contamination for multistage stochastic programs
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2006 – Nr. 1Ahmed, Shabbir; Cakmak, Ulas; Shapiro, Alexander:
Coherent Risk Measures in Inventory Problems
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2005 – Nr. 20Fabian, Csaba I.:
Decomposing CVaR minimization in two-stage stochastic models
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2005 – Nr. 19Ntaimo, Lewis; Sen, Suvrajeet:
A Comparative Study of Decomposition Algorithms for Stochastic Combinatorial Optimization
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2005 – Nr. 18Kuhn, Daniel:
Aggregation and Discretization in Multistage Stochastic Programming
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2005 – Nr. 17Erdogan, E.; Iyengar, G.:
Ambiguous chance constrained problems and robust optimization
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2005 – Nr. 16Heitsch, Holger; Römisch, Werner; Strugarek, Cyrille:
Stability of multistage stochastic programs
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2005 – Nr. 15Huang, Kai; Ahmed, Shabbir:
The value of multi-stage stochastic programming in capacity planning under uncertainty
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2005 – Nr. 14Barty, Kengy; Roy, Jean-Sebastien; Strugarek, Cyrille:
A Stochastic Gradient Type Algorithm for Closed Loop Problems
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2005 – Nr. 13Henrion, René:
Structural Properties of Linear Probabilistic Constraints
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2005 – Nr. 12Higle, Julia L.; Zhao, Lei:
Adaptive and nonadaptive samples in solving stochastic linear programs
A computational investigation
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2005 – Nr. 11Henrion, René; Römisch, Werner:
Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions
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2005 – Nr. 10van der Vlerk, Maarten H.:
Convex approximations for a class of mixed-integer recourse models
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2005 – Nr. 9Henclova, Alena:
Notes on free lunch in the limit and pricing by conjugate duality theory
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2005 – Nr. 8Valente, P.; Mitra, Gautam; Sadki, M.; Fourer, R.:
Extending algebraic modelling languages for Stochastic Programming
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2005 – Nr. 7Fleten, Stein-Erik; Pettersen, Erling:
Optimization of physical purchasing for a price-taking retailer in the Norwegian electricity market
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2005 – Nr. 6Mehrotra, Sanjay; Özevin, M. Gökhan:
Two-stage stochastic semidefinite programming and decomposition based interior point methods
Theory
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2005 – Nr. 5Eichhorn, Andreas; Römisch, Werner:
Stochastic integer programming
Limit theorems and confidence intervals
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2005 – Nr. 4Bayraksan, Güzin; Morton, David P.:
Assessing Solution Quality in Stochastic Programs
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2005 – Nr. 3Dupacová, Jitka; Polivka, Jan:
Stress Testing for VaR an CVaR
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2005 – Nr. 2Cheon, Myun-Seok; Ahmed, Shabbir; Al-Khayyal, Faiz:
A Branch-Reduce-Cut Algorithm for the Global Optimization of Probabilistically Constrained Linear Programs
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2005 – Nr. 1Klein Haneveld, Willem K.; Stougie, Leen; van der Vlerk, Maarten H.:
Simple Integer Recourse Models
Convexity and Convex Approximations
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2004 – Nr. 25Strugarek, Cyrille:
On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example
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2004 – Nr. 24Kong, Nan; Schaefer, Andrew J.; Hunsaker, Brady:
Two-stage integer programs with stochastic right-hand sides
A superadditive dual approach
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2004 – Nr. 23Goel, Vikas; Grossmann, Ignacio E.:
A class of stochastic programs with decision dependent uncertainty
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2004 – Nr. 22Koivu, Matti:
Variance reduction in sample approximations of stochastic programs
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2004 – Nr. 21Märkert, Andreas; Schultz, Rüdiger:
On deviation measures in stochastic integer programming
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2004 – Nr. 20Schultz, Rüdiger; Tiedemann, Stephan:
Conditional value-at-risk in stochastic programs with mixed-integer recourse
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2004 – Nr. 18Volosov, Konstantin; Mitra, Gautam; Spagnolo, Fabio; Lucas, Cormac:
Treasury management model with foreign exchange exposure
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2004 – Nr. 17Bukszar, Jozsef; Henrion, René; Hujter, Mihaly; Szantai, Tamas:
Polyhedral inclusion-exclusion
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2004 – Nr. 14Pennanen, Teemu; King, Alan J.:
Arbitrage pricing of American contingent claims in incomplete markets - a convex optimization approach
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2004 – Nr. 13Toktas, Berkin; Yen, Joyce W.; Zabinsky, Zelda B.:
A stochastic programming approach to resource-constrained assignment problems
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2004 – Nr. 12Chiralaksanakul, Anukal; Morton, David P.:
Assessing policy quality in multi-stage stochastic programming
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2004 – Nr. 11Mehrotra, Sanjay; Gokhan Ozevin, M.:
Decomposition-based interior point methods for two-stage stochastic convex quadratic programs with recourse
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2004 – Nr. 10Ahmed, Shabbir:
Mean-risk objectives in stochastic programming
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2004 – Nr. 9Ruszczynski, Andrzej; Shapiro, Alexander:
Conditional Risk Mappings
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2004 – Nr. 8Shapiro, Alexander:
Optimization of Convex Risk Functions
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2004 – Nr. 7Dentcheva, Darinka; Ruszczynski, Andrzej:
Convexification of stochastic ordering
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2004 – Nr. 6Guan, Yongpei; Ahmed, Shabbir; Nemhauser, George L.:
A branch-and-cut algorithm for the stochastic uncapacitated lot-sizing problem
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2004 – Nr. 5Kong, Nan; Schaefer, Andrew J.:
A factor 1/2 approximation algorithm for a class of two-stage stochastic mixed-integer programs
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2004 – Nr. 4Ntaimo, Lewis; Sen, Suvrajeet:
The million-variable "march" for stochastic combinatorial optimization
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2004 – Nr. 3Pennanen, Teemu:
Epi-convergent discretizations of multistage stochastic programs
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2004 – Nr. 2Dupacová, Jitka; Popela, Pavel:
Melt control
Charge optimization via stochastic programming
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2004 – Nr. 1Polivka, Jan:
Asset-liability management for Czech pension funds using stochastic programming
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2003 – Nr. 25Dentcheva, Darinka; Lai, Bogumila; Ruszczynski, Andrzej:
Efficient point methods for probabilistic optimization problems
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2003 – Nr. 24Dentcheva, Darinka; Ruszczynski, Andrzej:
Portfolio optimization with stochastic dominance constraints
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2003 – Nr. 23Kallio, Markku; Ziemba, William T.:
Arbitrage pricing simplified
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2003 – Nr. 22Zhao, Yonggan; Ziemba, William T.:
On Leland's option hedging strategy with transaction costs
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2003 – Nr. 21Ziemba, William T.:
Intertemporal mean-variance efficiency with a Markovian state price density
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2003 – Nr. 20Douglass, Julian; Wu, Owen; Ziemba, William T.:
Stock ownership decisions in DC pension plans
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2003 – Nr. 19Rodriguez-Mancilla, J.R.; Ziemba, William T.:
The duality of option investment strategies for hedge funds
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2003 – Nr. 18Barty, Kengy; Carpentier, P.; Chancelier, J.-P.; Cohen, G.; de Lara, M.; Guilbaud, T.:
Dual effect free stochastic controls
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2003 – Nr. 17Bagh, Adib; Casey, Michael:
An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming
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2003 – Nr. 16Pennanen, Teemu; Koivu, Matti:
Epi-convergent discretizations of stochastic programs via integration quadratures
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2003 – Nr. 15Santoso, Tjendera; Ahmed, Shabbir; Goetschalckx, Marc; Shapiro, Alexander:
A stochastic programming approach for supply chain network design under uncertainty
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2003 – Nr. 14Kaut, Michal; Wallace, Stein W.:
Evaluation of scenario-generation methods for stochastic programming
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2003 – Nr. 13van der Vlerk, Maarten H.; Klein Haneveld, Willem K.; Streutker, Matthijs H.:
Integrated chance constraints in an ALM model for pension funds
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2003 – Nr. 12Stougie, Leen; van der Vlerk, Maarten H.:
Approximation in stochastic integer programming
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2003 – Nr. 11van der Vlerk, Maarten H.:
Simplification of recourse models by modification of recourse data
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2003 – Nr. 10Dye, Shane:
Subtree decomposition for multistage stochastic programs
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2003 – Nr. 9Hilli, Petri; Koivu, Matti; Pennanen, Teemu; Ranne, Antero:
A stochastic programming model for asset liability management of a Finnish pension company
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2003 – Nr. 8Dentcheva, Darinka; Ruszczynski, Andrzej:
Optimization with stochastic dominance constraints
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2003 – Nr. 7Ruszczynski, Andrzej:
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
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2003 – Nr. 6Salinger, David H.; Rockafellar, R. Tyrrell:
Dynamic splitting
An algorithm for deterministic and stochastic multiperiod optimization
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2003 – Nr. 5King, Alan J.; Koivu, Matti; Pennanen, Teemu:
Calibrated option bounds
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2003 – Nr. 4Henrion, René; Römisch, Werner:
Hölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints
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2003 – Nr. 3Henrion, René:
Perturbation ananlysis of chance-constrained programs under variation of all constraint data
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2003 – Nr. 2Sen, Suvrajeet; Yu, Lihua; Genc, Talat:
A stochastic programming approach to power portfolio optimization
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2003 – Nr. 1Morton, David P.; Salmerón, Javier; Wood, R. Kevin:
A stochastic program for optimizing military sealift subject to attack
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2002 – Nr. 18Powell, Warren; Ruszczynski, Andrzej; Topaloglu, Huseyin:
Learning algorithms for separable approximations of stochastic optimization problems
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2002 – Nr. 17Lulli, Guglielmo; Sen, Suvrajeet:
A branch-and-price algorithm for multi-stage stochastic integer programming with application to stochastic batch-sizing problems
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2002 – Nr. 16Ruszczynski, Andrzej; Vanderbei, Robert J.:
Frontiers of stochastically nondominated portfolios
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2002 – Nr. 15Schultz, Rüdiger; Tiedemann, Stephan:
Risk aversion via excess probabilities in stochastic programs with mixed-integer recourse
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2002 – Nr. 14Klein Haneveld, Willem K.; van der Vlerk, Maarten H.:
Integrated chance constraints
reduced forms and an algorithm
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2002 – Nr. 13Dentcheva, Darinka; Römisch, Werner:
Duality gaps in nonconvex stochastic optimization
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2002 – Nr. 12Riis, Morten; Andersen, Kim Allan:
Applying the minimax criterion in stochastic recourse programs
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2002 – Nr. 11Pennanen, Teemu; Koivu, Matti:
Integration quadratures in discretization of stochastic programs
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2002 – Nr. 10van der Vlerk, Maarten H.:
Convex approximations for complete integer recourse models
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2002 – Nr. 9Nowak, Matthias Peter; Schultz, Rüdiger; Westphalen, Markus:
Optimization of simultaneous power production and trading by stochastic integer programming
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2002 – Nr. 8Dokov, Steftcho P.; Morton, David P.:
Higher-Order Upper Bounds on the Expectation of a Convex Function
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2002 – Nr. 7van der Vlerk, Maarten H.:
On Multiple Simple Recourse models
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2002 – Nr. 6MacLean, Leonard C.; Sanegre, Rafael; Zhao, Yonggan; Ziemba, William T.:
Capital growth with security
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2002 – Nr. 5Cole, J.; Schaefer, Andrew J.; Yen, Joyce W.:
A stochastic intra-ring synchronous optimal network design problem
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2002 – Nr. 4Albareda-Sambola, Maria; van der Vlerk, Maarten H.; Fernandez, Elena:
Exact solutions to a class of stochastic generalized assignment problems
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2002 – Nr. 3Pennanen, Teemu; Kallio, Markku:
A splitting method for stochastic programs
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2002 – Nr. 2Higle, Julia L.; Sen, Suvrajeet:
Multistage stochastic convex programs
Duality and its implications
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2002 – Nr. 1Dye, Shane; Stougie, Leen; Tomasgard, Asgeir:
The stochastic single node service provision problem
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2001 – Nr. 13King, Alan J.; Korf, Lisa A.:
Martingale pricing measures in incomplete markets via stochastic programming duality in the dual of L ∞
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2001 – Nr. 12Fábián, Csaba I.:
Adapting an approximate level method to the two-stage stochastic programming problem
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2001 – Nr. 11Pflug, Georg Ch.; Ruszczynski, Andrzej:
Risk measures for income streams
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2001 – Nr. 10Steinbach, Marc:
Tree-sparse convex programs
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2001 – Nr. 9Korf, Lisa A.:
Stochastic programming duality
L ∞ multipliers with an application to mathematical finance
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2001 – Nr. 8Riis, Morten; Schultz, Rüdiger:
Applying the minimum risk criterion in stochastic recourse programs
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2001 – Nr. 7Maatman, Arno; Schweigman, Caspar; Ruijs, Arjan; van der Vlerk, Maarten H.:
Modeling farmers' response to uncertain rainfall in Burkina Faso
a stochastic programming approach
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2001 – Nr. 6Linderoth, Jeff; Wright, Stephen:
Decomposition algorithms for stochastic programming on a computational grid
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2001 – Nr. 5Ahmed, Shabbir; King, Alan J.; Parija, Gyana:
A multi-stage stochastic integer programming approach for capacity expansion under uncertainty
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2001 – Nr. 4Dokov, Steftcho P.; Morton, David P.:
Second-order lower bounds on the expectation of a convex function
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2001 – Nr. 3Römisch, Werner; Schultz, Rüdiger:
Multistage stochastic integer programs
An introduction
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2001 – Nr. 2Ogryczak, Wlodzimierz; Ruszczynski, Andrzej:
Dual stochastic dominance and related mean-risk models
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2001 – Nr. 1Hemmecke, Raymond; Schultz, Rüdiger:
Decomposition of test sets in stochastic integer programming
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2000 – Nr. 27Rachev, Svetlozar T.; Römisch, Werner:
Quantitative stability in stochastic programming
The method of probability metrics
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2000 – Nr. 26Sen, Suvrajeet; Higle, Julia L.:
The C 3 theorem and a D 2 algorithm for large scale stochastic integer programming
Set convexification
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2000 – Nr. 25Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo:
The stable non-Gaussian asset allocation
A comparison with the classical Gaussian approach
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2000 – Nr. 24Marti, Kurt:
Adaptive optimal stochastic trajectory planning and control (AOSTPC) for robots
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2000 – Nr. 23Henrion, René:
Structure and stability of probabilistic storage level constraints
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2000 – Nr. 22Ruszczynski, Andrzej:
Probabilistic programs with discrete distributions and precedence constrained knapsack polyhedra
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2000 – Nr. 21Henrion, René:
A note on the connectedness of chance constraints
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2000 – Nr. 20Dupacová, Jitka; Gröwe-Kuska, Nicole; Römisch, Werner:
Scenario reduction in stochastic programming: An approach using probability metrics
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2000 – Nr. 19Nürnberg, Robert; Römisch, Werner:
A two-stage planning model for power scheduling in a hydro-thermal system under uncertainty
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2000 – Nr. 18Høyland, Kjetil; Kaut, Michal; Wallace, Stein W.:
A heuristic for generating scenario trees for multistage decision problems
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2000 – Nr. 17Dupacová, Jitka:
Output analysis for approximated stochastic programs
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2000 – Nr. 16Ahmed, Shabbir; Tawarmalani, Mohit; Sahinidis, Nikolas V.:
A finite branch and bound algorithm for two-stage stochastic integer programs
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2000 – Nr. 15Shapiro, Alexander; Kim, Joocheol; Homem-de-Mello, Tito:
Conditioning of stochastic programs
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2000 – Nr. 14Zhao, Yonggan; Ziemba, William T.:
Mean-variance versus expected utility in dynamic investment analysis
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2000 – Nr. 13Ziemba, William T.:
Determining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions
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2000 – Nr. 12Klein Haneveld, Willem K.; van der Vlerk, Maarten H.:
Optimizing electricity distribution using two-stage integer recourse models
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2000 – Nr. 11MacLean, Leonard C.; Ziemba, William T.; Li, Yuming:
Time to wealth goals in capital accumulation
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2000 – Nr. 10Nesterov, Yu.; Vial, J.-Ph.:
Confidence level solutions for stochastic programming
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2000 – Nr. 9Fleten, Stein-Erik; Høyland, Kjetil; Wallace, Stein W.:
The performance of stochastic dynamic and fixed mix portfolio models
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2000 – Nr. 8Ferris, Michael C.; Ruszczynski, Andrzej:
Robust path choice in networks with failures
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2000 – Nr. 7Korf, Lisa A.; Wets, Roger J.-B.:
Random lsc functions
Scalarization
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2000 – Nr. 6Albritton, Michael; Shapiro, Alexander; Spearman, Mark:
Finite capacity production planning with random demand and limited information
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2000 – Nr. 5Korf, Lisa A.; Wets, Roger J.-B.:
Random lsc functions
An ergodic theorem
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2000 – Nr. 4Homem-de-Mello, Tito:
Variable-sample methods and simulated annealing for discrete stochastic optimization
(revised version)
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2000 – Nr. 3Shapiro, Alexander:
Stochastic programming by Monte Carlo simulation methods
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2000 – Nr. 2Mehrotra, Sanjay:
Volumetric center method for stochastic convex programs using sampling
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2000 – Nr. 1Gröwe-Kuska, Nicole; Kiwiel, Krzysztof C.; Nowak, Matthias Peter; Römisch, Werner; Wegner, Isabel:
Power management in a hydro-thermal system under uncertainty by Lagrangian relaxation
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1999 – Nr. 8Zhao, Yonggan; Ziemba, William T.:
A Dynamic Asset Allocation Model with Downside Risk Control
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1999 – Nr. 7Rudolf, Markus; Ziemba, William T.:
Intertemporal Surplus Management
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1999 – Nr. 6Board, John; Sutcliffe, Charles; Ziemba, William T.:
The Application of Operations Research Techniques to Financial Markets
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1999 – Nr. 5Fleten, Stein-Erik; Wallace, Stein W.; Ziemba, William T.:
Hedging electricity portfolios via stochastic programming
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1999 – Nr. 4Dentcheva, Darinka; Prékopa, András; Ruszczynski, Andrzej:
Concavity and Efficient Points of Discrete Distributions in Probabilistic Programming
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1999 – Nr. 3Kleywegt, Anton J.; Shapiro, Alexander:
The Sample Average Approximation Method for Stochastic Discrete Optimization
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1999 – Nr. 2Shapiro, Alexander; Homem-de-Mello, Tito:
On Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
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1999 – Nr. 1Zhao, Yonggan; Ziemba, William T.:
Creating Synthetic Option Strategies for Asset Allocation with Transaction Costs Using Multi-Period Stochastic Programming
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