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20070603BuchA BranchandBound Method for Multistage Stochastic Integer Programs with Risk Objectives Heinze, Thomas; Schultz, RüdigerWe identify multistage stochastic integer programs with risk objectives where the related waitandsee problems enjoy similar separability as in the risk neutral case. For models belonging to this classwe present a solution ...

20010626BuchApplying the minimum risk criterion in stochastic recourse programs Riis, Morten; Schultz, RüdigerIn the setting of stochastic recourse programs, we consider the problem of minimizing the probability of total costs exceeding a certain threshold value. The problem is referred to as the minimum risk problem and is posed ...

20040913BuchConditional valueatrisk in stochastic programs with mixedinteger recourse Schultz, Rüdiger; Tiedemann, StephanIn classical twostage stochastic programming the expected value of the total costs is minimized. Recently, meanrisk models  studied in mathematical finance for several decades  have attracted attention in stochastic ...

20051020BuchDecomposition of a MultiStage Stochastic Programfor Power Dispatch Römisch, Werner; Schultz, RüdigerWe develop a multistage stochastic program for the optimal dispatch of electric power under uncertain demand in a generation system comprising thermal and pumped storage hydro plants. Based on an abstract duality argument ...

20010130BuchDecomposition of test sets in stochastic integer programming Hemmecke, Raymond; Schultz, RüdigerGraver test sets for linear twostage stochastic integer programs are studied. It is shown that test sets can be decomposed into finitely many building blocks whose number is independent of the number of scenarios of the ...

20010404BuchMultistage stochastic integer programs An introductionRömisch, Werner; Schultz, RüdigerWe consider linear mulitstage stochastic integer programs and study their functional and dynamic programming formulations as well as conditions for optimality and stability of solutions. Furthermore, we study the application ...

20051104BuchMultistage Stochastic Integer Programs An IntroductionRömisch, Werner; Schultz, RüdigerWe consider linear multistage stochastic integer programs and study their functional and dynamic programming formulations as well as conditions for optimality and stability of solutions. Furthermore, we study the application ...

20040913BuchOn deviation measures in stochastic integer programming Märkert, Andreas; Schultz, RüdigerWe propose extensions of traditional expectationbased stochastic integer programs to meanrisk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We ...

20051021BuchOptimale Blockauswahl bei der Kraftwerkseinsatzplanung Dentcheva, Darinka; Möller, Andris; Reeh, P.; Römisch, Werner; Schultz, Rüdiger; Schwarzbach, G.; Thomas, J.The paper addresses the unit commitment problem in power plant operation planning. For a real power system comprising coal and gas fired thermal as well as pumped storage hydro plants a largescale mixed integer optimization ...

20051117BuchOptimale Blockauswahl bei der Kraftwerkseinsatzplanung der VEAG Gollmer, R.; Möller, Andris; Römisch, Werner; Schultz, Rüdiger; Schwarzbach, G.; Thomas, J.In der vorliegenden Arbeit beschreiben wir einen LPbasierten BranchandBound und einen LagrangeRelaxationsZugang für das Blockauswahlproblem in der Kraftwerkseinsatzplanung, wobei moderne Ansätze und Algorithmen für ...

20020523BuchOptimization of simultaneous power production and trading by stochastic integer programming Nowak, Matthias Peter; Schultz, Rüdiger; Westphalen, MarkusWe develop a twostage stochastic integer programming model for the simultaneous optimization of power production and dayahead power trading. The model rests on mixedinteger linear formulations for the unit commitment ...

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 ...

20020816BuchRisk aversion via excess probabilities in stochastic programs with mixedinteger recourse Schultz, Rüdiger; Tiedemann, StephanWe consider linear twostage stochastic programs with mixedinteger recourse. Instead of basing the selection of an optimal firststage solution on expected costs alone, we include into the objective a risk term reflecting ...

20070603BuchSecondOrder Stochastic Dominance Constraints Induced by MixedInteger Linear Recourse Gollmer, Ralf; Gotzes, Uwe; Schultz, RüdigerWe introduce stochastic integer programs with dominance constraints induced by mixedinteger linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is ...

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 ...

20070603BuchStochastic Programs with FirstOrder Dominance Constraints Induced by MixedInteger Linear Recourse Gollmer, Ralf; Neise, Frederike; Schultz, RüdigerWe propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixedinteger linear recourse. For these models, we establish closedness of theconstraint set mapping with ...