Browsing Stochastic Programming Eprint Series (SPEPS) by Title
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20030313BuchCalibrated option bounds This paper proposes a numerical approach for computing bounds for the arbitragefree prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed ...

20020129BuchCapital growth with security This paper discusses the allocation of capital over time with several risky assets. The capital growth log utility approach is used with conditions requiring that specific goals are achieved with high probability. The ...

20151005BuchClustering of sample average approximation for stochastic program We present an improvement to the Sample Average Approximation (SAA) method for twostage stochasticprogram. Although the SAA has nice theoretical properties, such as convergence in probability and consistency,as long as ...

20060102BuchCoherent Risk Measures in Inventory Problems We 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 ...

20130409BuchComputational aspects of riskaverse optimizationin twostage stochastic models Computational studies on twostage stochastic programming problems indicate that aggregate models have better scaleup properties than disaggregate ones, though the threshold of breaking even may be high. In this paper we ...

20070704BuchComputations with Disjunctive Cuts for TwoStage Stochastic Mixed 01 Integer Programs Twostage stochastic mixedinteger programming (SMIP) problems with recourse are generally difficult to solve. This paper presents a ﬁrst computationalstudy of a disjunctive cutting plane method for stochastic mixed 01 ...

19991129BuchConcavity and Efficient Points of Discrete Distributions in Probabilistic Programming We consider stochastic programming problems with probabilistic constraints involving integervalued random variables. The concept of a pefficient point of a probability distribution is used to derive various equivalent ...

20040325BuchConditional Risk Mappings We 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. ...

20040913BuchConditional valueatrisk in stochastic programs with mixedinteger recourse In classical twostage stochastic programming the expected value of the total costs is minimized. Recently, meanrisk models  studied in mathematical finance for several decades  have attracted attention in stochastic ...

20130725BuchConditioning of linearquadratic twostage stochastic optimization problems In this paper a condition number for linearquadratic twostage stochastic optimization problemsis introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probabilitydistribution the solution set ...

20000626BuchConditioning of stochastic programs In 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 ...

20000407BuchConfidence level solutions for stochastic programming We propose an alternative approach to stochastic programming based on MonteCarlo sampling and stochastic gradient optimization. The procedure is by essence probabilistic and the computed solution is a random variable. The ...

20101119BuchConstruction of RiskAverse Enhanced Index Funds We propose a partial replication strategy to construct riskaverse enhanced index funds. Our model takes into account the parameter estimation risk by defining the asset returns and the return covariance terms as random ...

20060315BuchContamination for multistage stochastic programs Contamination technique will be examined as a possible approach to robustness analysis of results obtained for multistage stochastic linear programs with respect to changes of their structure or input data. We shall focus ...

20080705BuchConvergence Analysis of a Weighted Barrier Decomposition Algorithm for Two Stage Stochastic Programming Mehrotra and Ozevin [7] computationally found that a weighted primal barrier decomposition algorithm signiﬁcantly outperforms the barrier decomposition proposed and analyzed in [11; 6; 8]. Thispaper provides a theoretical ...

20150914BuchConvergence of the Smoothed Empirical Process in Nested Distance The nested distance, also process distance, provides a quantitative measure of distance for stochastic processes. It is the crucial and determining distance for stochastic optimization problems.In this paper we demonstrate ...

20061218BuchConvergent Bounds for Stochastic Programs with Expected Value Constraints This article elaborates a bounding approximation scheme for convexmultistage stochastic programs (MSP) that constrain the conditional expectation ofsome decisiondependent random variables. Expected value constraints of ...

20050411BuchConvex approximations for a class of mixedinteger recourse models We consider mixedinteger recourse (MIR) models with a single recourse constraint. We relate the secondstage value function of such problems to the expected simple integer recourse (SIR) shortage function. This allows to ...

20020526BuchConvex approximations for complete integer recourse models We consider convex approximations of the expected value function of a twostage integer recourse problem. The convex approximations are obtained by perturbing the distribution of the random righthand side vector. It is ...

20130402BuchConvex approximations for totally unimodular integerrecourse models: A uniform error bound We consider a class of convex approximations for totally unimodular (TU) integer recourse models and derive a uniform error bound by exploiting properties of the total variation of the probability density functions involved. ...