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20120924BuchAre QuasiMonte Carlo algorithms efficient for twostage stochastic programs? Heitsch, Holger; Leövey, Hernan; Römisch, WernerQuasiMonte Carlo algorithms are studied for designing discrete approximationsof twostage linear stochastic programs. Their integrands are piecewiselinear, but neither smooth nor lie in the function spaces considered for ...

20201110ZeitschriftenartikelJoint Model of ProbabilisticRobust (Probust) Constraints Applied to Gas Network Optimization Adelhütte, Dennis; Aßmann, Denis; González Grandón, Tatiana; Gugat, Martin; Heitsch, Holger; Henrion, René; Liers, Frauke; Nitsche, Sabrina; Schultz, Rüdiger; Stingl, Michael; Wintergerst, DavidOptimization problems under uncertain conditions abound in many reallife applications. While solution approaches for probabilistic constraints are often developed in case the uncertainties can be assumed to follow a certain ...

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 ...

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 ...

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 ...