Browsing Volume 2003 by Title
Now showing items 120 of 25

20021219BuchA stochastic program for optimizing military sealift subject to attack We describe a stochastic program for planning the wartime, sealift deployment of military cargo subject to attack. The cargo moves on ships from US or allied seaports of embarkation through seaports of debarkation (SPODs) ...

20030707BuchA stochastic programming approach for supply chain network design under uncertainty This paper proposes a stochastic programming model and solution algorithm for solving supply chain network design problems of a realistic scale. Existing approaches for these problems are either restricted to deterministic ...

20030109BuchA stochastic programming approach to power portfolio optimization The DASH model for Power Portfolio Optimization provides a tool which helps decisionmakers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming ...

20030620BuchA stochastic programming model for asset liability management of a Finnish pension company This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension company. In many respects the model resembles those presented in the literature , but it has some ...

20030721BuchAn Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming We prove an ergodic theorem showing the almost sure epi/hypoconvergence of a sequence of random lagrangians to a limit lagrangian where the random lagrangians are generated by stationary sampling of a probability measure. ...

20030630BuchApproximation in stochastic integer programming Approximation algorithms are the prevalent solution methods in the field of stochastic programming. Problems in this field are very hard to solve. Indeed, most of the research in this field has concentrated on designing ...

20030930BuchArbitrage pricing simplified The paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results plus those with dividends, periodic interest payments, ...

20030313BuchCalibrated option bounds This paper proposes a numerical approach for computing bounds for the arbitragefree prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed ...

20030930BuchDual effect free stochastic controls In stochastic optimal control, a key issue is the fact that "solutions" are searched for in terms of "feedback" over available information and, as a consequence, a major potential difficulty is the fact that present control ...

20030517BuchDynamic splitting An algorithm for deterministic and stochastic multiperiod optimizationA new algorithm for the nonlinear multistage stochastic programming problem (MSP) is presented; one that is reasonable for the largescale problem (e.g. long term hydropower scheduling) and is highly parallel. The algorithm ...

20031020BuchEfficient point methods for probabilistic optimization problems We consider nonlinear stochastic programming problems with probabilistic constraints. The concept of a pefficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and ...

20030725BuchEpiconvergent discretizations of stochastic programs via integration quadratures Modern integration quadratures are designed to produce finitely supported approximations of a given (probability) measure. This makes them well suited for discretization of stochastic programs. We give conditions that ...

20030714BuchEvaluation of scenariogeneration methods for stochastic programming In this paper, we discuss the evaluation of quality/suitability of scenariogeneration methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a scenariogeneration ...

20030306BuchHölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints We study perturbations of a stochastic program with a probabilistic constraint and $r$concave original probability distribution. First we improve our earlier results substantially and provide conditions implying Hölder ...

20030704BuchIntegrated chance constraints in an ALM model for pension funds We discuss integrated chance constraints in their role of shortterm risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for ...

20030930BuchIntertemporal meanvariance efficiency with a Markovian state price density This paper extends Merton's continuous time (instantaneous) meanvariance analysis and the mutual fund separation theory. Given the existence of a Markovian state price density process, the optimal portfolios from concave ...

20030930BuchOn Leland's option hedging strategy with transaction costs Nonzero transaction costs invalidate the BlackScholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the BlackScholes hedging strategy with a volatility ...

20030618BuchOptimality and duality theory for stochastic optimization problems with nonlinear dominance constraints We consider a new class of optimization problems involving stochastic dominance constraints of second order. We develop a new splitting approach to these models, optimality conditions and duality theory. These results are ...

20030618BuchOptimization with stochastic dominance constraints We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for theses models and we show that the Lagrange ...

20030210BuchPerturbation ananlysis of chanceconstrained programs under variation of all constraint data A fairly general shape of chance constraint programs is\[(P) min \{ g(x)  x \in X, \mu (H(x)) \le p \} ,\]where $g : \R^m \to \R$ is a continuous objective function, $X \subseteq \R^m$ is a closed subset of deterministic ...