Now showing items 11-18 of 18
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 ...
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 ...
Optimization 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 ...