Now showing items 1-10 of 18
Multistage stochastic convex programs
Duality and its implications
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 ...
A branch-and-price algorithm for multi-stage stochastic integer programming with application to stochastic batch-sizing problems
In this paper we present a branch-and-price method to solve special structured multi-stage stochastic integer programming problems. We validate our method on two different versions of a multi-stage stochastic batch-sizing ...
Integrated chance constraints
reduced forms and an algorithm
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 ...
Learning 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 ...
Risk 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 ...
Applying 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 ...
A stochastic intra-ring synchronous optimal network design problem
We develop a stochastic programming approach to solving an intra-ring Synchronous Optical Network (SONET) design problem. This research differs from pioneering SONET design studies in two fundamental ways. First, while ...