Now showing items 1-10 of 13
Decomposition of test sets in stochastic integer programming
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 ...
Second-order lower bounds on the expectation of a convex function
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. ...
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? ...
A multi-stage stochastic integer programming approach for capacity expansion under uncertainty
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 ...
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 ...
Multistage stochastic integer programs
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 ...