Browsing Volume 2000 by Title
Now showing items 10-27 of 27
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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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2000-05-24BuchOptimizing 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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2000-07-06BuchOutput 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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2000-01-20BuchPower 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 ...
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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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2000-12-20BuchQuantitative stability in stochastic programming Quantitative 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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2000-03-21BuchRandom lsc functions Random lsc (lower semicontinuous) functions can be indentified with a vector-valued random variable by means of an appropriate scalarization. It is shown that stationarity, ergodicity and independence properties are preserved ...
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2000-02-07BuchRandom lsc functions An ergodic theorem for random lsc functions is obtained by relying on a (novel) 'scalarization' of such functions. In the process, Kolmogorov's extension theorem for randon lsc functions is established. Applications to ...
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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 ...
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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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2000-01-31BuchStochastic programming by Monte Carlo simulation methods We consider in this paper stochastic programming problems which can be formulated as an optimization problem of an expected value function subject to deterministic constraints. We discuss a Monte Carlo simulation approach ...
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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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2000-12-19BuchThe C 3 theorem and a D 2 algorithm for large scale stochastic integer programming This 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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2000-04-01BuchThe 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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2000-11-28BuchThe stable non-Gaussian asset allocation We 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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2000-04-13BuchTime 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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2000-01-31BuchVariable-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 ...
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2000-01-24BuchVolumetric 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 ...
