Browsing Volume 2004 by Title
Now showing items 1322 of 22

20040416BuchMeanrisk objectives in stochastic programming Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing risk in decision making problems is to consider a ...

20040114BuchMelt control This paper introduces melt control as a good case for application of two and multistage stochastic programming models. Sources of uncertainties are described and several methods of input generation are presented. The ...

20040913BuchOn deviation measures in stochastic integer programming We propose extensions of traditional expectationbased stochastic integer programs to meanrisk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We ...

20041227BuchOn the FortetMourier metric for the stability of Stochastic Optimization Problems, an example We consider the use of the FortetMourier metric between two probability measures to bound the error term made by an approximated solution of a stochastic program. After a short analysis of usual stability arguments, we ...

20040325BuchOptimization of Convex Risk Functions We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk ...

20040605BuchPolyhedral inclusionexclusion Motivated by numerical computations to solve probabilistic constrained stochastic programming problems, we derive a new identity claiming that many terms are cancelled out in the inclusionexclusion formula expressing the ...

20040219BuchThe millionvariable "march" for stochastic combinatorial optimization Combinatorial optimization problems have applications in a variety of sciences and engineering. In the presence of data uncertainty, these problems lead to stochastic combinatorial optimization problems which result in ...

20040615BuchTreasury management model with foreign exchange exposure In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is ...

20041002BuchTwostage integer programs with stochastic righthand sides We consider twostage pure integer programs with discretely distributed stochastic righthand sides. We present an equivalent superadditive dual formulation that uses the value functions in both stages. We give two algorithms ...

20041002BuchVariance reduction in sample approximations of stochastic programs This paper studies the use of randomized QuasiMonte Carlo methods (RQMC) in sample approximations of stochastic programs. In high dimensional numerical integration, RQMC methods often substantially reduce the variance of ...