Browsing Stochastic Programming Eprint Series (SPEPS) by Title
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19991220BuchHedging electricity portfolios via stochastic programming Electricity producers participating in the Nordic wholesalelevel market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single riskaverse producer, ...

20020503BuchHigherOrder Upper Bounds on the Expectation of a Convex Function We develop a decreasing sequence of upper bounds on the expectation of a convex function. The nth term in the sequence uses moments and crossmoments of up to degree n from the underlying random vector. Our work has ...

20030306BuchHölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints We study perturbations of a stochastic program with a probabilistic constraint and $r$concave original probability distribution. First we improve our earlier results substantially and provide conditions implying Hölder ...

20020729BuchIntegrated chance constraints reduced forms and an algorithmWe consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints. We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the ...

20030704BuchIntegrated chance constraints in an ALM model for pension funds We discuss integrated chance constraints in their role of shortterm risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for ...

20020604BuchIntegration quadratures in discretization of stochastic programs Because of its simplicity, conditional sampling is the most popular method for generating scenario trees in stochastic programming. It is based on approximating probability measures by empirical ones generated by random ...

20030930BuchIntertemporal meanvariance efficiency with a Markovian state price density This paper extends Merton's continuous time (instantaneous) meanvariance analysis and the mutual fund separation theory. Given the existence of a Markovian state price density process, the optimal portfolios from concave ...

20000120BuchIntertemporal Surplus Management This paper presents an intertemporal portfolio selection model for pension funds that maximize the intertemporal expected utility of the surplus of assets net of liabilities. Following Merton (1973) it is assumed that both ...

20120608BuchIntroduction to convex optimization in financial markets Convexity arises quite naturally in financial risk management. In riskpreferences concerning random cashflows, convexity corresponds to thefundamental diversification principle. Convexity is a basic property alsoof budget ...

20021105BuchLearning algorithms for separable approximations of stochastic optimization problems We propose the use of sequences of separable, piecewise linear approximations for solving classes of nondiffferential stochastic optimization problems. The approximations are estimated adaptively using a combination of ...

20170731BuchLearning Enabled Optimization: Towards a Fusion of Statistical Learning and Stochastic Optimization Several emerging applications, such as “Analytics of Things" and “Integrative Analytics" call for a fusion of statistical learning (SL) and stochastic optimization (SO). The Learning Enabled Optimization paradigm fuses ...

20050426BuchLipschitz and differentiability properties of quasiconcave and singular normal distribution functions The paper provides a condition for differentiability as well as an equivalent criterion for Lipschitz continuity of singular normal distributions. Such distributions are of interest, for instance, in stochastic optimization ...

20011113BuchMartingale pricing measures in incomplete markets via stochastic programming duality in the dual of L ∞ We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims, using conjugate duality and optimization theory. Various statements in the literature of the fundamental theorem of asset ...

20040416BuchMeanrisk objectives in stochastic programming Traditional 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 ...

20000613BuchMeanvariance versus expected utility in dynamic investment analysis This paper derives the meanvariance efficient frontier and optimal portfolio policies for a dynamic investment model. In the absence of arbitrage opportunities, the optimal expected portfolio value can be identified through ...

20120319BuchMeasures of information in multistage stochastic programming(Bounds in Multistage Linear Stochastic Programming) Multistage stochastic programs, which involve sequences of decisions over time, areusually hard to solve in realistically sized problems. In the twostage case, several approaches basedon different levels of available ...

20040114BuchMelt control Charge optimization via stochastic programmingThis paper introduces melt control as a good case for application of two and multistage stochastic programming models. Sources of uncertainties are described and several methods of input generation are presented. The ...

20070529BuchMIP Reformulations of the Probabilistic Set Covering Problem In this paper we address the following probabilistic version (PSC) of the set covering problem: $ min{cx  P(Ax ≥ ξ) ≥ p, x_j \in {0, 1}N }$ where A is a 01 matrix, ξ is arandom 01 vector and $p \in (0, 1]$ is the ...

20140416BuchMitigating Uncertainty via Compromise Decisions in Twostage Stochastic Linear Programming Stochastic Programming (SP) has long been considered as a welljustified yet computationally challenging paradigm for practical applications. Computational studies in the literature often involve approximating a large ...

20010606BuchModeling farmers' response to uncertain rainfall in Burkina Faso a stochastic programming approachFarmers on the Central Plateau of Burkina Faso in West Africa cultivate under precarious conditions. Rainfall variability is extremely high in this area, and accounts for much of the uncertainty surrounding the farmers? ...