Browsing Stochastic Programming Eprint Series (SPEPS) by Title
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20030621BuchSimplification of recourse models by modification of recourse data We consider modification of the recourse data, consisting of the secondstage parameters and the underlying distribution, as an approximation technique for solving twostage recourse problems. This approach is applied to ...

20061027BuchSome remarks on valueatrisk optimization We discuss two observations related to valueatarisk optimization. First we consider a portfolio problem under an infinite number of valueatrisk inequality constraints (modelling first order stochastic dominance). The ...

20100525BuchStability and sensitivity analysis of stochastic programs with second order dominance constraints In this paper we present stability and sensitivity analysis of a stochastic optimizationproblem with stochastic second order dominance constraints. We consider perturbation of theunderlying probability measure in the space ...

20050808BuchStability of multistage stochastic programs Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an $L_r$distance and of a distance ...

20061214BuchStability of multistage stochastic programs incorporating polyhedral risk measures We analyse stability aspects of linear multistage stochastic programs with polyhedral risk measures inthe objective. In particular, we consider sensitivity of the optimal value with respect perturbations ofthe underlying ...

20060621BuchStability of εapproximate solutions to convex stochastic programs An analysis of convex stochastic programs is provided if the underlying probability distribution is subjected to (small) perturbations. It is shown, in particular,that εapproximate solution sets of convex stochastic ...

20150512BuchStatistical Estimation of Composite Risk Functionals and Risk Optimization Problems We address the statistical estimation of composite functionals whichmay be nonlinear in the probability measure. Our study is motivated bythe need to estimate coherent measures of risk, which become increasinglypopular in ...

20050225BuchStochastic integer programming Limit theorems and confidence intervalsWe consider empirical approximations of twostage stochastic mixedinteger programs and derive central limit theorems for the objectives and optimal values. The limit theorems are based on empirical process theory and the ...

20081219BuchStochastic Nash Equilibrium Problems: Sample Average Approximation and Applications This paper presents a Nash equilibrium model where the underlying objective functionsinvolve uncertainties and nonsmoothness. The well known sample average approximationmethod is applied to solve the problem and the ﬁrst ...

20080306BuchStochastic optimization models for a singlesink transportation problem In this paper we study a singlesink transportation problem in which the production capacity of the suppliers and the demand of the single customer are stochastic. Shipments are performed by capacitated vehicles, which ...

20000131BuchStochastic programming by Monte Carlo simulation methods We 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 ...

20010726BuchStochastic programming duality L ∞ multipliers with an application to mathematical financeA new duality theory is developed for a class of stochastic programs in which the probability distribution is not necessarily discrete. This provides a new framework for problems which are not necessarily bounded, are not ...

20060415BuchStochastic programming for optimizing bidding strategies of a nordic hydropower producer From the point of view of a pricetaking hydropower producer participating in the dayahead power market, market prices are highly uncertain. The present paper provides a model for determining optimal bidding strategies ...

20070603BuchStochastic Programs with FirstOrder Dominance Constraints Induced by MixedInteger Linear Recourse We 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 ...

20110802BuchStochastic programs without duality gaps This paper studies dynamic stochastic optimization problems parametrizedby a random variable. Such problems arise in many applications in operations research and mathematical ﬁnance. We give sufficient conditionsfor the ...

20030930BuchStock ownership decisions in DC pension plans This paper considers the risk of employee pension accounts when there is a large weighting in company stock. The effect of reduced diversification and job related risk are considered. Meanvariance and scenariobased ...

20050112BuchStress Testing for VaR an CVaR Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimization problems with these risk criteria is discussed. Whereas for ...

20050621BuchStructural Properties of Linear Probabilistic Constraints The paper provides a structural analysis of the feasible set defined by linear probabilistic constraints. Emphasis is laid on single (individual) probabilistic constraints. A classical convexity result by Van de Panna/Popp ...

20001102BuchStructure and stability of probabilistic storage level constraints We consider the structure of probabilistic storage level constraints as well as the stability of solutions to optimization problems involving such constraints. Apart from the general case, special structures with and without ...

20030620BuchSubtree decomposition for multistage stochastic programs An algorithm for solving multistage stochastic recourse problems is described. The scenario tree is decomposed using a cover of subtrees. The progressive hedging algorithm is used to ensure implementability across the ...