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Browsing by Author "Schultz, Rüdiger"
Now showing items 1-17 of 17
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2007-06-03BuchA Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives Heinze, Thomas; Schultz, RüdigerWe identify multistage stochastic integer programs with risk objectives where the related wait-and-see problems enjoy similar separability as in the risk neutral case. For models belonging to this classwe present a solution ...
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2001-06-26BuchApplying 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 ...
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2004-09-13BuchConditional value-at-risk in stochastic programs with mixed-integer recourse Schultz, Rüdiger; Tiedemann, StephanIn classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models -- studied in mathematical finance for several decades -- have attracted attention in stochastic ...
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2005-10-20BuchDecomposition of a Multi-Stage Stochastic Programfor Power Dispatch Römisch, Werner; Schultz, RüdigerWe develop a multi-stage 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 ...
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2001-01-30BuchDecomposition of test sets in stochastic integer programming Hemmecke, Raymond; Schultz, RüdigerGraver test sets for linear two-stage 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 ...
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2001-04-04BuchMultistage 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 ...
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2005-11-04BuchMultistage 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 ...
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2004-09-13BuchOn deviation measures in stochastic integer programming Märkert, Andreas; Schultz, RüdigerWe propose extensions of traditional expectation-based stochastic integer programs to mean-risk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We ...
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2005-10-21BuchOptimale 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 ...
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2005-11-17BuchOptimale 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 LP-basierten Branch-and-Bound- und einen Lagrange-Relaxations-Zugang für das Blockauswahlproblem in der Kraftwerkseinsatzplanung, wobei moderne Ansätze und Algorithmen für ...
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2002-05-23BuchOptimization of simultaneous power production and trading by stochastic integer programming Nowak, Matthias Peter; Schultz, Rüdiger; Westphalen, MarkusWe develop a two-stage stochastic integer programming model for the simultaneous optimization of power production and day-ahead power trading. The model rests on mixed-integer linear formulations for the unit commitment ...
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2005-11-15BuchPower Scheduling in a Hydro-Thermal System under Uncertainty Carøe, C.C.; Nowak, Matthias Peter; Römisch, Werner; Schultz, RüdigerA multi-stage stochastic programming model for power scheduling under uncertainty in a generation system comprising thermal and pumped-storage hydro units is developed. For its computational solution two different decomposition ...
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2005-11-15BuchPrimal and Dual Methods for Unit Commitment in a Hydro-Thermal Power System Gollmer, R.; Möller, Andris; Nowak, Matthias Peter; Römisch, Werner; Schultz, RüdigerThe unit commitment problem in a power generation system comprising thermal and pumped-storage hydro units is adressed. A large-scale mixed-integer optimization model for unit commitment in a real power system is developed ...
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2002-08-16BuchRisk aversion via excess probabilities in stochastic programs with mixed-integer recourse Schultz, Rüdiger; Tiedemann, StephanWe consider linear two-stage stochastic programs with mixed-integer recourse. Instead of basing the selection of an optimal first-stage solution on expected costs alone, we include into the objective a risk term reflecting ...
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2007-06-03BuchSecond-Order Stochastic Dominance Constraints Induced by Mixed-Integer Linear Recourse Gollmer, Ralf; Gotzes, Uwe; Schultz, RüdigerWe introduce stochastic integer programs with dominance constraints induced by mixed-integer linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is ...
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2005-10-26BuchSolving 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 gas-fired thermal and pumped-storage hydroplants a large-scale mixed integer optimization model for ...
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2007-06-03BuchStochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse Gollmer, Ralf; Neise, Frederike; Schultz, RüdigerWe propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish closedness of theconstraint set mapping with ...