Stochastic Programming Eprint Series (SPEPS): Recent submissions
Now showing items 4160 of 240

20110802BuchStochastic programs without duality gaps This paper studies dynamic stochastic optimization problems parametrizedby a random variable. Such problems arise in many applications in operations research and mathematical ﬁnance. We give sufficient conditionsfor the ...

20101129BuchA computational study of a solver system forprocessing twostage stochastic linearprogramming problems

20101119BuchConstruction of RiskAverse Enhanced Index Funds We propose a partial replication strategy to construct riskaverse enhanced index funds. Our model takes into account the parameter estimation risk by defining the asset returns and the return covariance terms as random ...

20101020BuchSamplingbased decomposition methods for riskaverse multistage programs We define a risk averse nonanticipative feasible policy for multistage stochastic programsand propose a methodology to implement it. The approach is based on dynamic programmingequations written for a risk averse formulation ...

20101019BuchOn joint probabilistic constraints with Gaussian coefficient matrix The paper deals with joint probabilistic constraints defined by a Gaussiancoefficient matrix. It is shown how to explicitly reduce the computation ofvalues and gradients of the underlying probability function to that of ...

20100825BuchPatternBased Modeling and Solution of Probabilistically Constrained Optimization Problems We propose a new modeling and solution method for probabilistically constrained optimization problems.The methodology is based on the integration of the stochastic programming and combinatorialpattern recognition fields. ...

20100825BuchConvex duality in stochastic programming and mathematical finance This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given ﬁltration. The framework uniﬁes many wellknown duality ...

20100525BuchStability and sensitivity analysis of stochastic programs with second order dominance constraints In this paper we present stability and sensitivity analysis of a stochastic optimizationproblem with stochastic second order dominance constraints. We consider perturbation of theunderlying probability measure in the space ...

20100604BuchReformulation of general chance constrained problems using the penalty functions We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosenpenaltytype objectives. We show that the two problems are asymptotically equivalent. ...

20100604BuchA comparison of samplebased stochastic optimal control methods In this paper, we compare the performance of two scenariobased numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists in ﬁnding strategies to control a dynamicalsystem ...

20091016BuchUncertainties in minimax stochastic programs When using the minimax approach one tries to hedge against the worst possible distribution belonging to a speciﬁed class P. A suitable stability analysis of results with respect to the choice of this class is an important ...

20091016BuchDayAhead Market Bidding for a NordicHydropower Producer: Taking the ElbasMarket into Account In many power markets around the world the energy generation decisions result from twosidedauctions in which producing and consuming agents submit their pricequantity bids. Thedetermination of optimal bids in power markets ...

20091016BuchRiskAverse TwoStage Stochastic LinearProgramming: Modeling and Decomposition We formulate a riskaverse twostage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures.We ...

20091016BuchOn probabilistic constraints induced by rectangular sets and multivariate normal distributions In this paper, we consider optimization problems under probabilistic constraints which aredeﬁned by twosided inequalities for the underlying normally distributed random vector. Asa main step for an algorithmic solution ...

20090724BuchThe role of information in multiperiod risk measurement Multiperiod risk functionals assign a risk value to a discretetime stochasticprocess $Y = (Y_1 , . . . , Y_T )$. While convexity and monotonicity properties extend ina natural way from the singleperiod case and several ...

20090522BuchFenchel Decomposition for Stochastic MixedIntegerProgramming This paper introduces a new cutting plane method for twostage stochastic mixedinteger programming (SMIP) called Fenchel decomposition (FD). FD usesa class of valid inequalities termed, FD cuts, which are derived based ...

20090519BuchA computational study of a solver system for processing twostage stochastic linear programming problems Formulation of stochastic optimisation problems and computational algorithms for their solution continue to make steady progress as can be seenfrom an analysis of many developments in this ﬁeld. The edited volume by Wallace ...

20090422BuchAn enhanced model for portfolio choice with SSD criteria: a constructive approach We formulate a portfolio planning model which is based on Secondorder Stochastic Dominance as the choice criterion. This model is an enhanced version of the multiobjective model proposed by Roman, DarbyDowman, and Mitra ...

20090405BuchA model for dynamic chance constraints in hydro power reservoir management In this paper, a model for (joint) dynamic chance constraints is proposed and applied to an optimization problem in water reservoir management. The model relies on discretization of the decision variables but keeps the ...

20081219BuchStochastic Nash Equilibrium Problems: Sample Average Approximation and Applications This paper presents a Nash equilibrium model where the underlying objective functionsinvolve uncertainties and nonsmoothness. The well known sample average approximationmethod is applied to solve the problem and the ﬁrst ...