Now showing items 11-20 of 234
Optimizing electricity distribution using two-stage integer recourse models
We consider two planning problems faced by an electricity distributor. Electricity can be obtained both from power plants and small generators such as hospitals and greenhouses, whereas the future demand for electricity ...
The performance of stochastic dynamic and fixed mix portfolio models
The purpose of this paper is to demonstrate how to evaluate stochastic programming models, and more specifically to compare two different approaches to asset liability management. The first uses multistage stochastic ...
Power management in a hydro-thermal system under uncertainty by Lagrangian relaxation
We present a dynamic multistage stochastic programming model for the cost-optimal generation of electric power in a hydro-thermal system under uncertainty in load, inflow to reservoirs and prices for fuel and delivery ...
Volumetric 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 ...
The Application of Operations Research Techniques to Financial Markets
This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to OR researchers, the main types of financial market problem amendable to OR are ...