 edocServer Home
 Browsing by Author
Browsing by Author "Shapiro, Alexander"
Now showing items 19 of 9

20030707BuchA stochastic programming approach for supply chain network design under uncertainty Santoso, Tjendera; Ahmed, Shabbir; Goetschalckx, Marc; Shapiro, AlexanderThis paper proposes a stochastic programming model and solution algorithm for solving supply chain network design problems of a realistic scale. Existing approaches for these problems are either restricted to deterministic ...

20060102BuchCoherent Risk Measures in Inventory Problems Ahmed, Shabbir; Cakmak, Ulas; Shapiro, AlexanderWe analyze an extension of the classical multiperiod, singleitem, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying ...

20040325BuchConditional Risk Mappings Ruszczynski, Andrzej; Shapiro, AlexanderWe introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. ...

20000626BuchConditioning of stochastic programs Shapiro, Alexander; Kim, Joocheol; HomemdeMello, TitoIn this paper we consider stochastic programming problems where the objective function is given as an expected value function. With an optimal solution of such a (convex) problem we associate a condition number which ...

20000216BuchFinite capacity production planning with random demand and limited information Albritton, Michael; Shapiro, Alexander; Spearman, MarkProduction planning has a fundamental role in any manufacturing operation. The problem is to decide what type of, and how much, product should be produced in future time periods. The decisions should be based on many ...

19991018BuchOn Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs Shapiro, Alexander; HomemdeMello, TitoIn this paper we discuss Monte Carlo simulation based approximations of a stochastic programming problem. We show that if the corresponding random functions are convex piecewise smooth and the distribution is discrete, ...

20040325BuchOptimization of Convex Risk Functions Ruszczynski, Andrzej; Shapiro, AlexanderWe consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk ...

20000131BuchStochastic programming by Monte Carlo simulation methods Shapiro, AlexanderWe consider in this paper stochastic programming problems which can be formulated as an optimization problem of an expected value function subject to deterministic constraints. We discuss a Monte Carlo simulation approach ...

19991129BuchThe Sample Average Approximation Method for Stochastic Discrete Optimization Kleywegt, Anton J.; Shapiro, AlexanderIn this paper we study a Monte Carlo simulation based approach to stochastic discrete optimization problems. The basic idea of such methods is that a random sample is generated and consequently the expected value function ...