Now showing items 21-30 of 234
Variable-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 ...
Finite capacity production planning with random demand and limited information
Production planning has a fundamental role in any manufacturing operation. The problem is to decide what type of, and how much, product should be produced in future time periods. The decisions should be based on many ...
A Dynamic Asset Allocation Model with Downside Risk Control
This paper presents a new stochastic model for investment. The investor's objective is to maximize the expected growth rate while controlling for downside risk. Assuming lognormally distributed prices, the strategy that ...
Scenario reduction in stochastic programming: An approach using probability metrics
Given a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...
A finite branch and bound algorithm for two-stage stochastic integer programs
This paper addresses a general class of two-stage stochastic programs with integer recourse and discrete distributions. We exploit the structure of the value function of the second stage integer problem to develop a novel ...
Adaptive 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 ...
A heuristic for generating scenario trees for multistage decision problems
In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that produces a discrete ...