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 ...

This paper addresses a multi-stage stochastic integer programming formulation of the uncapacitated lot-sizing problem under uncertainty. We show that the classical $(\mathcal{l}, S)$ inequalities for the deterministic ...

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 inclusion-exclusion formula expressing the ...

The standard approach to formulating stochastic programs is based on the assumption that the stochastic process is independent of the optimization decision. We address a class of problems where the optimization decisions ...

In many dynamic stochastic optimization problems in practice, the uncertain factors are best modeled as random variables with an infinite support. This results in infinite-dimensional optimization problems that can rarely ...

We consider two-stage pure integer programs with discretely distributed stochastic right-hand sides. We present an equivalent superadditive dual formulation that uses the value functions in both stages. We give two algorithms ...

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 ...

We propose extensions of traditional expectation-based stochastic integer programs to mean-risk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We ...

In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models -- studied in mathematical finance for several decades -- have attracted attention in stochastic ...

Abstract We introduce the two-stage stochastic maximum-weight matching problem and demonstrate that this problem is NP-complete. We give a factor 1/2 approximation algorithm and prove its correctness. We also provide a ...