We consider the problem of constructing mean-risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of ...

Graver test sets for linear two-stage stochastic integer programs are studied. It is shown that test sets can be decomposed into finitely many building blocks whose number is independent of the number of scenarios of the ...

We develop a class of lower bounds on the expectation of a convex function. The bounds utilize the first two moments of the underlying random variable, whose support is contained in a bounded interval or hyper-rectangle. ...

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 ...

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? ...

Dynamic stochastic programs are prototypical for optimization problems with an inherent tree structure including characteristic sparsity patterns in the KKT systems of interior methods. We propose an integrated modeling ...

This paper addresses a multi-period investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixed-charge cost ...

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 ...

We consider linear mulitstage stochastic integer programs and study their functional and dynamic programming formulations as well as conditions for optimality and stability of solutions. Furthermore, we study the application ...

A new measure of risk is introduced for a sequence of random incomes adapted to some filtration. This measure is formulated as the optimal net present value of a stream of adaptively planned commitments for consumption. ...