Browsing Stochastic Programming Eprint Series (SPEPS) by Title
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20010420BuchA multistage stochastic integer programming approach for capacity expansion under uncertainty This 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 ...

20000829BuchA note on the connectedness of chance constraints We prove a result on connectedness of (functional) chance constraints $ P(h(x) \ge g(\xi) \ge p$, where the decision variable $x$ belongs to a Banach space and $h$ is assumed to be strictly quasiconcave. The derived ...

20170926BuchA randomized method for handling a difficult function in a convex optimization problem, motivated by probabilistic programming We propose a randomized gradient method for the handling of a convex function whose gradient computation is demanding. The method bears a resemblance to the stochastic approximation family. But in contrast to stochastic ...

20070529BuchA Short Note on the Probabilistic Set Covering Problem In this paper we address the following probabilistic version (PSC) of the set coveringproblem: $ min{cx  P(Ax ≥ ξ) ≥ p, x_j \in {0, 1} j \in N }$ where A is a 01 matrix, ξis a random 01 vector and $p \in (0, 1]$ is the ...

20150409BuchA Simulation Based Approach to Solve A Specific Type of Chance Constrained Optimization We solve the chance constrained optimization with convexfeasible set through approximating the chance constraint by another convexsmooth function. The approximation is based on the numerical properties of theBernstein ...

20020314BuchA splitting method for stochastic programs This paper derives a new splittingbased decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Rockafellar and Wets, the dynamic splitting ...

20050706BuchA Stochastic Gradient Type Algorithm for Closed Loop Problems We focus on solving closedloop stochastic problems, and propose a perturbed gradient algorithm to achieve this goal. The main hurdle in such problems is the fact that the control variables are infinite dimensional, and ...

20020423BuchA stochastic intraring synchronous optimal network design problem We develop a stochastic programming approach to solving an intraring Synchronous Optical Network (SONET) design problem. This research differs from pioneering SONET design studies in two fundamental ways. First, while ...

20021219BuchA stochastic program for optimizing military sealift subject to attack We describe a stochastic program for planning the wartime, sealift deployment of military cargo subject to attack. The cargo moves on ships from US or allied seaports of embarkation through seaports of debarkation (SPODs) ...

20030707BuchA stochastic programming approach for supply chain network design under uncertainty This 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 ...

20030109BuchA stochastic programming approach to power portfolio optimization The DASH model for Power Portfolio Optimization provides a tool which helps decisionmakers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming ...

20040517BuchA stochastic programming approach to resourceconstrained assignment problems We address the resourceconstrained generalizations of the assignment problem with uncertain resource capacities, where the resource capacities have an unknown distribution that can be sampled. We propose three stochastic ...

20030620BuchA stochastic programming model for asset liability management of a Finnish pension company This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension company. In many respects the model resembles those presented in the literature , but it has some ...

20000812BuchA twostage planning model for power scheduling in a hydrothermal system under uncertainty A twostage stochastic programming model for the short or midterm costoptimal electric power production planning is developed. We consider the power generation in a hydrothermal generation system under uncertainty in ...

20011105BuchAdapting an approximate level method to the twostage stochastic programming problem We present a decomposition method for the solution of stwostage stochastic programming problems. This is an approximate method that can handle problems with large number scenarios. At the beginning, only rough approximation ...

20050428BuchAdaptive and nonadaptive samples in solving stochastic linear programs A computational investigationLarge scale stochastic linear programs are typically solved using a combination of mathematical programming techniques and samplebased approximations. Some methods are designed to permit sample sizes to adapt to information ...

20001107BuchAdaptive optimal stochastic trajectory planning and control (AOSTPC) for robots In optimal control of robots, the standard procedure is to determine first offline an optimal openloop control, using some nominal or estimated values of the model parameters, and to correct then the resulting deviation ...

20051228BuchAggregation and Discretization in Multistage Stochastic Programming Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen neg ative events. In order to ensure computational tractability, ...

20061214BuchAirline Network Revenue Management by Multistage Stochastic Programming A multistage stochastic programming approach to airline network revenue management is presented. The objective is to determine seatprotection levels for all itineraries, fare classes, point of sales of the airlinenetwork ...

20070810BuchAlgorithms for handling CVaRconstraints in dynamic stochastic programming models with applications to finance We propose dual decomposition and solution schemes for multistage CVaRconstrained problems. These schemes meet the need for handling multiple CVaRconstraints for different time frames and at different confidence levels. ...