Browsing by Author "Römisch, Werner"

Now showing items 1-7 of 7

2012-09-24Buch

Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?

Heitsch, Holger; Leövey, Hernan; Römisch, Werner

Quasi-Monte Carlo algorithms are studied for designing discrete approximationsof two-stage linear stochastic programs. Their integrands are piecewiselinear, but neither smooth nor lie in the function spaces considered for ...
2013-07-25Buch

Conditioning of linear-quadratic two-stage stochastic optimization problems

Emich, Konstantin; Henrion, René; Römisch, Werner

In this paper a condition number for linear-quadratic two-stage stochastic optimization problemsis introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probabilitydistribution the solution set ...
2017-04-19Buch

Optimal scenario generation and reduction in stochastic programming

Henrion, René; Römisch, Werner

Scenarios are indispensable ingredients for the numerical solution of stochastic optimization problems. Earlier approaches for optimal scenario generation and reduction are based on stability arguments involving distances ...
2012-10-13Buch

Quantitative Stability Analysis of Stochastic Generalized Equations

Liu, Yongchao; Römisch, Werner; Xu, Huifu

We consider the solution of a system of stochastic generalized equations (SGE) where theunderlying functions are mathematical expectation of random set-valued mappings. SGE hasmany applications such as characterizing ...
2014-12-30Buch

Quasi-Monte Carlo methods for linear two-stage stochastic programming problems

Leövey, Hernan; Römisch, Werner

Quasi-Monte Carlo algorithms are studied for generating scenarios to solve two-stage linear stochastic programming problems. Their integrands are piecewise linear-quadratic, but do not belong to the function spaces ...
2010-10-20Buch

Sampling-based decomposition methods for risk-averse multistage programs

Guigues, Vincent; Römisch, Werner

We define a risk averse nonanticipative feasible policy for multistage stochastic programsand propose a methodology to implement it. The approach is based on dynamic programmingequations written for a risk averse formulation ...
2012-04-09Buch

SDDP for multistage stochastic linear programs based on spectral risk measures

Guiges, Vincent; Römisch, Werner

We consider risk-averse formulations of multistage stochastic linear programs. Forthese formulations, based on convex combinations of spectral risk measures, risk-averse dynamicprogramming equations can be written. As a ...