Browsing by Author "Heitsch, Holger"

Now showing items 1-8 of 8

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 ...
2020-11-10Zeitschriftenartikel

Joint Model of Probabilistic-Robust (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, David

Optimization problems under uncertain conditions abound in many real-life applications. While solution approaches for probabilistic constraints are often developed in case the uncertainties can be assumed to follow a certain ...
2005-11-04Buch

Scenario Reduction Algorithms in Stochastic Programming

Heitsch, Holger; Römisch, Werner

We 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 ...
2006-03-31Buch

Scenario tree modelling for multistage stochastic programs

Heitsch, Holger; Römisch, Werner

An 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 ...
2006-08-02Buch

Scenario tree modelling for multistage stochastic programs

Heitsch, Holger; Römisch, Werner

An 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 ...
2008-04-05Buch

Scenario tree reduction for multistage stochastic programs

Heitsch, Holger; Römisch, Werner

A 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 ...
2005-08-08Buch

Stability of multistage stochastic programs

Heitsch, Holger; Römisch, Werner; Strugarek, Cyrille

Quantitative 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 ...
2005-11-02Buch

Stability of multistage stochastic programs

Heitsch, Holger; Römisch, Werner; Strugarek, Cyrille

Quantitative 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 Lr-distance and of a distance ...