Now showing items 1-10 of 18
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 ...
Exact 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, ...
Higher-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 ...
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 ...
Integration 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 ...