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20051116BuchPower Management in a HydroThermal System under Uncertainty by Lagrangian Relaxation GröweKuska, Nicole; Kiwiel, Krzysztof C.; Nowak, Matthias Peter; Römisch, Werner; Wegner, IsabelWe present a dynamic multistage stochastic programming model for the costoptimal generation of electric power in a hydrothermal system under uncertainty in load, inflow to reservoirs and prices for fuel and delivery ...

20051115BuchPower Scheduling in a HydroThermal System under Uncertainty Carøe, C.C.; Nowak, Matthias Peter; Römisch, Werner; Schultz, RüdigerA multistage stochastic programming model for power scheduling under uncertainty in a generation system comprising thermal and pumpedstorage hydro units is developed. For its computational solution two different decomposition ...

20051115BuchPrimal and Dual Methods for Unit Commitment in a HydroThermal Power System Gollmer, R.; Möller, Andris; Nowak, Matthias Peter; Römisch, Werner; Schultz, RüdigerThe unit commitment problem in a power generation system comprising thermal and pumpedstorage hydro units is adressed. A largescale mixedinteger optimization model for unit commitment in a real power system is developed ...

20051111BuchQantitative stability for scenariobased stochastic programs Dupacová, Jitka; Römisch, WernerGeneral quantitative stability results for stochastic programs are formulated in terms of probability metrics, specified to scenariobased stochastic programs and applied to a bond portfolio managemant problem.

20001220BuchQuantitative stability in stochastic programming The method of probability metricsRachev, Svetlozar T.; Römisch, WernerQuantitative stability of optimal values and solution sets to stochastic programming problems is studied when the underlying probability distribution varies in some metric space of probability measures. We give conditions ...

20051107BuchQuantitative stability in stochastic programming: The method of probability metrics Rachev, Svetlozar T.; Römisch, WernerQuantitative stability of optimal values and solution sets to stochastic programming problems is studied when the underlying probability distribution varies in some metric space of probability measures. We give conditions ...

20071207BuchQuantitative stability of fully random mixedinteger twostage stochastic programs Römisch, Werner; Vigerske, StefanMixedinteger twostage stochastic programs with ﬁxed recourse matrix, random recourse costs, technology matrix, and righthand sides areconsidered. Quantitative continuity properties of its optimal value and solution set ...

20051104BuchScenario Reduction Algorithms in Stochastic Programming Heitsch, Holger; Römisch, WernerWe consider convex stochastic programs with an (approximate) initial probability distribution P having finite support supp P, i.e., finitely many scenarios. Such stochastic programs behave stable with respect to perturbations ...

20051107BuchScenario Reduction in Stochastic Programming An Approach Using Probability MetricsDupacová, Jitka; GröweKuska, Nicole; Römisch, WernerGiven a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...

20061026BuchScenario reduction in stochastic programming with respect to discrepancy distances Henrion, René; Küchler, Christian; Römisch, WernerDiscrete approximations to chance constrained and mixedinteger twostage stochastic programs require moderately sized scenario sets. The relevant distances of (multivariate) probability distributions for deriving quantitative ...

20000814BuchScenario reduction in stochastic programming: An approach using probability metrics Dupacová, Jitka; GröweKuska, Nicole; Römisch, WernerGiven a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...

20060331BuchScenario tree modelling for multistage stochastic programs Heitsch, Holger; Römisch, WernerAn important issue for solving multistage stochastic programs consists inthe approximate representation of the (multivariate) stochastic input process inthe form of a scenario tree. In this paper, forward and backward ...

20060802BuchScenario tree modelling for multistage stochastic programs Heitsch, Holger; Römisch, WernerAn important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper, forward and backward ...

20080405BuchScenario tree reduction for multistage stochastic programs Heitsch, Holger; Römisch, WernerA framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The argument is based on ...

20051026BuchSolving the Unit Commitment Problem in Power Generation by Primal and Dual Methods Dentcheva, Darinka; Gollmer, R.; Möller, Andris; Römisch, Werner; Schultz, RüdigerThe unit commitment problem in power plant operation planning is addressed. For a real power system comprising coal and gasfired thermal and pumpedstorage hydroplants a largescale mixed integer optimization model for ...

20050808BuchStability of multistage stochastic programs Heitsch, Holger; Römisch, Werner; Strugarek, CyrilleQuantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an $L_r$distance and of a distance ...

20051102BuchStability of multistage stochastic programs Heitsch, Holger; Römisch, Werner; Strugarek, CyrilleQuantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an Lrdistance and of a distance ...

20061214BuchStability of multistage stochastic programs incorporating polyhedral risk measures Eichhorn, Andreas; Römisch, WernerWe analyse stability aspects of linear multistage stochastic programs with polyhedral risk measures inthe objective. In particular, we consider sensitivity of the optimal value with respect perturbations ofthe underlying ...

20060621BuchStability of εapproximate solutions to convex stochastic programs Römisch, Werner; Wets, Roger J.B.An analysis of convex stochastic programs is provided if the underlying probability distribution is subjected to (small) perturbations. It is shown, in particular,that εapproximate solution sets of convex stochastic ...

20051103BuchStepsize control for meansquare numerical methods for stochastic differential equations with small noise Römisch, Werner; Winkler, RenateA strategy for controlling the stepsize in the numerical integration of stochastic differential equations (SDEs) is presented. It is based on estimating the pth mean of local errors. The strategy leads to deterministic ...