Auflistung Stochastic Programming E-print Series (SPEPS) nach Titel
Anzeige der Publikationen 236-240 von 240
-
2009-10-16BuchUncertainties in minimax stochastic programs When using the minimax approach one tries to hedge against the worst possible distribution belonging to a specified class P. A suitable stability analysis of results with respect to the choice of this class is an important ...
-
2016-09-05BuchUniformly monotone functions - defiitions, properties, characterizations Quasi-concave functions play an important role in economics and finance as utility functions, measures of risk or other objects used, mainly,in portfolio selection analysis. A special attention is paid to these functions ...
-
2000-01-31BuchVariable-sample methods and simulated annealing for discrete stochastic optimization In this paper we study a modifcation of the well-known simulated annealing method, adapting it to discrete stochastic optimization problems. Our algorithm is based on a variable-sample Monte Carlo technique, in which the ...
-
2004-10-02BuchVariance reduction in sample approximations of stochastic programs This paper studies the use of randomized Quasi-Monte Carlo methods (RQMC) in sample approximations of stochastic programs. In high dimensional numerical integration, RQMC methods often substantially reduce the variance of ...
-
2000-01-24BuchVolumetric center method for stochastic convex programs using sampling We develop an algorithm for solving the stochastic convex program (SCP) by combining Vaidya's volumetric center interior point method (VCM) for solving non-smooth convex programming problems with the Monte-Carlo sampling ...