Auflistung Volume 2002 nach Titel
Anzeige der Publikationen 9-18 von 18
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2002-10-24BuchFrontiers 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 mean-risk models which are solvable by linear programming and generate ...
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2002-05-03BuchHigher-Order 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 n-th term in the sequence uses moments and cross-moments of up to degree n from the underlying random vector. Our work has ...
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2002-07-29BuchIntegrated 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 ...
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2002-06-04BuchIntegration 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 ...
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2002-11-05BuchLearning 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 ...
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2002-02-21BuchMultistage 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 alterna-tive primal representations, lead to stochastic ...
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2002-05-02BuchOn 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 ...
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2002-05-23BuchOptimization of simultaneous power production and trading by stochastic integer programming We develop a two-stage stochastic integer programming model for the simultaneous optimization of power production and day-ahead power trading. The model rests on mixed-integer linear formulations for the unit commitment ...
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2002-08-16BuchRisk aversion via excess probabilities in stochastic programs with mixed-integer recourse We consider linear two-stage stochastic programs with mixed-integer recourse. Instead of basing the selection of an optimal first-stage solution on expected costs alone, we include into the objective a risk term reflecting ...
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2002-02-13BuchThe 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 ...