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A stochastic intra-ring synchronous optimal network design problem

Cole, J.; Schaefer, Andrew J.; Yen, Joyce W.

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 ...

Exact solutions to a class of stochastic generalized assignment problems

Albareda-Sambola, Maria; Vlerk, Maarten H. van der; Fernandez, Elena

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, ...

Frontiers of stochastically nondominated portfolios

Ruszczynski, Andrzej; Vanderbei, Robert J.

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 ...

The stochastic single node service provision problem

Dye, Shane; Stougie, Leen; Tomasgard, Asgeir

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 ...

Higher-Order Upper Bounds on the Expectation of a Convex Function

Dokov, Steftcho P.; Morton, David P.

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 ...

Risk aversion via excess probabilities in stochastic programs with mixed-integer recourse

Schultz, Rüdiger; Tiedemann, Stephan

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 ...

Convex approximations for complete integer recourse models

Vlerk, Maarten H. van der

We consider convex approximations of the expected value function of a two-stage integer recourse problem. The convex approximations are obtained by perturbing the distribution of the random right-hand side vector. It is ...

Applying the minimax criterion in stochastic recourse programs

Riis, Morten; Andersen, Kim Allan

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 ...

Duality gaps in nonconvex stochastic optimization

Dentcheva, Darinka; Römisch, Werner

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 ...

Integration quadratures in discretization of stochastic programs

Pennanen, Teemu; Koivu, Matti

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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