Now showing items 31-40 of 234
Probabilistic programs with discrete distributions and precedence constrained knapsack polyhedra
We consider stochastic programming problems with probabilistic constraints involving random variables with discrete distributions. They can be reformulated as large scale mixed integer programming problems with knapsack ...
Adapting 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 ...
Decomposition algorithms for stochastic programming on a computational grid
We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the L-shaped method and ...
Modeling farmers' response to uncertain rainfall in Burkina Faso
a stochastic programming approach
Farmers on the Central Plateau of Burkina Faso in West Africa cultivate under precarious con-ditions. Rainfall variability is extremely high in this area, and accounts for much of the uncertainty surrounding the farmers? ...
Martingale pricing measures in incomplete markets via stochastic programming duality in the dual of L ∞
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims, using conjugate duality and optimization theory. Various statements in the literature of the fundamental theorem of asset ...
Multistage stochastic convex programs
Duality and its implications
In this paper, we study alternative primal and dual formulations of multistage stochastic convex programs (SP). The alternative dual problems which can be traced to the alterna-tive primal representations, lead to stochastic ...
Applying the minimum risk criterion in stochastic recourse programs
In the setting of stochastic recourse programs, we consider the problem of minimizing the probability of total costs exceeding a certain threshold value. The problem is referred to as the minimum risk problem and is posed ...