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 Stochastic Programming Eprint Series (SPEPS)
 Browsing Stochastic Programming Eprint Series (SPEPS) by Author
Browsing Stochastic Programming Eprint Series (SPEPS) by Author "Ahmed, Shabbir"
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20040221BuchA branchandcut algorithm for the stochastic uncapacitated lotsizing problem Guan, Yongpei; Ahmed, Shabbir; Nemhauser, George L.This paper addresses a multistage stochastic integer programming formulation of the uncapacitated lotsizing problem under uncertainty. We show that the classical $(\mathcal{l}, S)$ inequalities for the deterministic ...

20050110BuchA BranchReduceCut Algorithm for the Global Optimization of Probabilistically Constrained Linear Programs Cheon, MyunSeok; Ahmed, Shabbir; AlKhayyal, FaizWe consider probabilistic constrained linear programs with general distributions for the uncertain parameters. These problems generally involve nonconvex feasible sets. We develop a branch and bound algorithm that searches ...

20000704BuchA finite branch and bound algorithm for twostage stochastic integer programs Ahmed, Shabbir; Tawarmalani, Mohit; Sahinidis, Nikolas V.This paper addresses a general class of twostage stochastic programs with integer recourse and discrete distributions. We exploit the structure of the value function of the second stage integer problem to develop a novel ...

20010420BuchA multistage stochastic integer programming approach for capacity expansion under uncertainty Ahmed, Shabbir; King, Alan J.; Parija, GyanaThis paper addresses a multiperiod investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixedcharge cost ...

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 ...

20061121BuchCutting planes for multistage stochastic integer programs Guan, Yongpei; Ahmed, Shabbir; Nemhauser, George L.This paper addresses the problem of finding cutting planes for multistage stochastic integer programs.We give a general method for generating cutting planes for multistage stochastic integer programs basedon combining ...

20040416BuchMeanrisk objectives in stochastic programming Ahmed, ShabbirTraditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing risk in decision making problems is to consider a ...

20050706BuchThe value of multistage stochastic programming in capacity planning under uncertainty Huang, Kai; Ahmed, ShabbirThis paper addresses a general class of capacity planning problems under uncertainty, which arises, for example, in semiconductor tool purchase planning. Using a scenario tree to model the evolution of the uncertainties, ...