Volume 2002
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20021105BuchLearning algorithms for separable approximations of stochastic optimization problems We propose the use of sequences of separable, piecewise linear approximations for solving classes of nondiffferential stochastic optimization problems. The approximations are estimated adaptively using a combination of ...

20021024BuchA branchandprice algorithm for multistage stochastic integer programming with application to stochastic batchsizing problems In this paper we present a branchandprice method to solve special structured multistage stochastic integer programming problems. We validate our method on two different versions of a multistage stochastic batchsizing ...

20021024BuchFrontiers of stochastically nondominated portfolios We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose meanrisk models which are solvable by linear programming and generate ...

20020816BuchRisk aversion via excess probabilities in stochastic programs with mixedinteger recourse We consider linear twostage stochastic programs with mixedinteger recourse. Instead of basing the selection of an optimal firststage solution on expected costs alone, we include into the objective a risk term reflecting ...

20020729BuchIntegrated chance constraints We consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints. We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the ...

20020707BuchDuality gaps in nonconvex stochastic optimization We consider multistage stochastic optimization models. Logical or integrality constraints, frequently present in optimization models, limit the application of powerful convex analysis tools. Different Lagrangian relaxation ...

20020705BuchApplying the minimax criterion in stochastic recourse programs We consider an optimization problem in which some uncertain parmeters are replaced by random variables. The minimax approach to stochastic programming concerns the problem of minimizing the worst expected value of the ...

20020604BuchIntegration quadratures in discretization of stochastic programs Because of its simplicity, conditional sampling is the most popular method for generating scenario trees in stochastic programming. It is based on approximating probability measures by empirical ones generated by random ...

20020526BuchConvex approximations for complete integer recourse models We consider convex approximations of the expected value function of a twostage integer recourse problem. The convex approximations are obtained by perturbing the distribution of the random righthand side vector. It is ...

20020523BuchOptimization of simultaneous power production and trading by stochastic integer programming We develop a twostage stochastic integer programming model for the simultaneous optimization of power production and dayahead power trading. The model rests on mixedinteger linear formulations for the unit commitment ...

20020503BuchHigherOrder Upper Bounds on the Expectation of a Convex Function We develop a decreasing sequence of upper bounds on the expectation of a convex function. The nth term in the sequence uses moments and crossmoments of up to degree n from the underlying random vector. Our work has ...

20020502BuchOn Multiple Simple Recourse models We consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages ...

20020129BuchCapital growth with security This paper discusses the allocation of capital over time with several risky assets. The capital growth log utility approach is used with conditions requiring that specific goals are achieved with high probability. The ...

20020423BuchA stochastic intraring synchronous optimal network design problem We develop a stochastic programming approach to solving an intraring Synchronous Optical Network (SONET) design problem. This research differs from pioneering SONET design studies in two fundamental ways. First, while ...

20020422BuchExact solutions to a class of stochastic generalized assignment problems This paper deals with a stochastic Generalized Assignment Problem with recourse. Only a random subset of the given set of jobs will require to be actually processed. An assignment of each job to an agent is decided a priori, ...

20020314BuchA splitting method for stochastic programs This paper derives a new splittingbased decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Rockafellar and Wets, the dynamic splitting ...

20020221BuchMultistage stochastic convex programs In this paper, we study alternative primal and dual formulations of multistage stochastic convex programs (SP). The alternative dual problems which can be traced to the alternative primal representations, lead to stochastic ...

20020213BuchThe stochastic single node service provision problem The service provision problem described in this paper comes from an application of distributed processing in telecommunications networks. The objective is to maximize a service provider's profit from offering computational ...