RSS 1.0Volume 2000
Recent Submissions
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2000-12-20BuchQuantitative stability in stochastic programming The method of probability metricsQuantitative stability of optimal values and solution sets to stochastic programming problems is studied when the underlying probability distribution varies in some metric space of probability measures. We give conditions ...
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2000-12-19BuchThe C 3 theorem and a D 2 algorithm for large scale stochastic integer programming Set convexificationThis paper considers the two stage stochastic integer programming problems, with an emphasis on problems in which integer variables appear in the second stage. Drawing heavily on the theory of disjunctive programming, we ...
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2000-11-28BuchThe stable non-Gaussian asset allocation A comparison with the classical Gaussian approachWe analyze a multistage stochastic asset allocation problem with decision rules. The uncertainty is modeled using economic scenarios with Gaussian and stable Paretian non-Gaussian innovations. The optimal allocations under ...
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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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2000-11-02BuchStructure and stability of probabilistic storage level constraints We consider the structure of probabilistic storage level constraints as well as the stability of solutions to optimization problems involving such constraints. Apart from the general case, special structures with and without ...
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2000-10-05BuchProbabilistic 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 ...
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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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2000-08-14BuchScenario 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 ...
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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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2001-04-06BuchA 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 ...
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2000-07-06BuchOutput analysis for approximated stochastic programs Because of incomplete information and also for the sake of numerical tractability one mostly solves an approximated stochastic program instead of the underlying ''true'' decision problem. However, without an additional ...
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2000-07-04BuchA 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 ...
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2000-06-26BuchConditioning of stochastic programs In this paper we consider stochastic programming problems where the objective function is given as an expected value function. With an optimal solution of such a (convex) problem we associate a condition number which ...
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2000-06-13BuchMean-variance versus expected utility in dynamic investment analysis This paper derives the mean-variance efficient frontier and optimal portfolio policies for a dynamic investment model. In the absence of arbitrage opportunities, the optimal expected portfolio value can be identified through ...
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2000-06-13BuchDetermining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions This paper develops an approximate method for solving multiperiod utility maximization investment models with downside risk control characterized by the minimum attainable wealth among all possible scenarios. The stochastic ...
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2000-05-24BuchOptimizing 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 ...
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2000-04-13BuchTime to wealth goals in capital accumulation This paper considers the problem of continuous investment of capital in risky assets over time. Using a Bayesian framework, a model for asset prices is developed where the current price dynamics depend on the history of ...
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2000-04-07BuchConfidence level solutions for stochastic programming We propose an alternative approach to stochastic programming based on Monte-Carlo sampling and stochastic gradient optimization. The procedure is by essence probabilistic and the computed solution is a random variable. The ...
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2000-04-01BuchThe 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 ...
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2000-03-27BuchRobust path choice in networks with failures The problem of adaptive routing in a network with failures is considered. The network may be in one of finitely many states characterized by different travel times along the arcs, and transitions between the states occur ...
