Browsing by Author "Kuhn, Daniel"

Now showing items 1-4 of 4

2015-04-22Buch

A Comment on "Computational Complexityof Stochastic Programming Problems"

Hanasusanto, Grani A.; Kuhn, Daniel; Wiesemann, Wolfram

Although stochastic programming problems were always believed to be computationally chal-lenging, this perception has only recently received a theoretical justification by the seminal workof Dyer and Stougie (Mathematical ...
2005-12-28Buch

Aggregation and Discretization in Multistage Stochastic Programming

Kuhn, Daniel

Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen neg- ative events. In order to ensure computational tractability, ...
2006-12-18Buch

Convergent Bounds for Stochastic Programs with Expected Value Constraints

Kuhn, Daniel

This article elaborates a bounding approximation scheme for convexmultistage stochastic programs (MSP) that constrain the conditional expectation ofsome decision-dependent random variables. Expected value constraints of ...
2017-02-21Buch

Scenariao Reduction Revisited: Fundamental Limits and Gurarantees

Rujeerapaiboon, Napat; Schindler, Kilian; Kuhn, Daniel; Wiesemann, Wolfram

The goal of scenario reduction is to approximate a given discrete distributionwith another discrete distribution that has fewer atoms. We distinguishcontinuous scenario reduction, where the new atoms may be chosen freely, ...