Auflistung Stochastic Programming E-print Series (SPEPS) nach Titel
Anzeige der Publikationen 21-40 von 240
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2001-04-20BuchA multi-stage stochastic integer programming approach for capacity expansion under uncertainty This paper addresses a multi-period 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 fixed-charge cost ...
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2000-08-29BuchA 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 ...
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2017-09-26BuchA 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 ...
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2007-05-29BuchA 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 0-1 matrix, ξis a random 0-1 vector and $p \in (0, 1]$ is the ...
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2015-04-09BuchA 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 ...
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2002-03-14BuchA splitting method for stochastic programs This paper derives a new splitting-based decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Rockafellar and Wets, the dynamic splitting ...
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2005-07-06BuchA Stochastic Gradient Type Algorithm for Closed Loop Problems We focus on solving closed-loop 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 ...
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2002-04-23BuchA stochastic intra-ring synchronous optimal network design problem We develop a stochastic programming approach to solving an intra-ring Synchronous Optical Network (SONET) design problem. This research differs from pioneering SONET design studies in two fundamental ways. First, while ...
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2002-12-19BuchA 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) ...
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2003-07-07BuchA stochastic programming approach for supply chain network design under uncertainty This paper proposes a stochastic programming model and solution algorithm for solving sup-ply chain network design problems of a realistic scale. Existing approaches for these problems are either restricted to deterministic ...
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2003-01-09BuchA stochastic programming approach to power portfolio optimization The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming ...
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2004-05-17BuchA stochastic programming approach to resource-constrained assignment problems We address the resource-constrained 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 ...
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2003-06-20BuchA 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 ...
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2000-08-12BuchA two-stage planning model for power scheduling in a hydro-thermal system under uncertainty A two-stage stochastic programming model for the short- or mid-term cost-optimal electric power production planning is developed. We consider the power generation in a hydro-thermal generation system under uncertainty in ...
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2001-11-05BuchAdapting an approximate level method to the two-stage stochastic programming problem We present a decomposition method for the solution of stwo-stage stochastic programming problems. This is an approximate method that can handle problems with large number scenarios. At the beginning, only rough approximation ...
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2005-04-28BuchAdaptive and nonadaptive samples in solving stochastic linear programs Large scale stochastic linear programs are typically solved using a combination of mathematical programming techniques and sample-based approximations. Some methods are designed to permit sample sizes to adapt to information ...
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2000-11-07BuchAdaptive optimal stochastic trajectory planning and control (AOSTPC) for robots In optimal control of robots, the standard procedure is to determine first off-line an optimal open-loop control, using some nominal or estimated values of the model parameters, and to correct then the resulting deviation ...
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2005-12-28BuchAggregation 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, ...
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2006-12-14BuchAirline 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 ...
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2007-08-10BuchAlgorithms for handling CVaR-constraints in dynamic stochastic programming models with applications to finance We propose dual decomposition and solution schemes for multistage CVaR-constrained problems. These schemes meet the need for handling multiple CVaR-constraints for different time frames and at different confidence levels. ...