Auflistung Volume 2005 nach Titel
Anzeige der Publikationen 11-19 von 19
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2005-04-26BuchLipschitz and differentiability properties of quasi-concave and singular normal distribution functions The paper provides a condition for differentiability as well as an equivalent criterion for Lipschitz continuity of singular normal distributions. Such distributions are of interest, for instance, in stochastic optimization ...
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2005-04-11BuchNotes on free lunch in the limit and pricing by conjugate duality theory King and Korf introduced, in the framework of a discrete-time dynamic market model on a general probability space, a new concept of arbitrage called free lunch in the limit which is slightly weaker than the common free ...
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2005-01-10BuchSimple Integer Recourse Models We consider the objective function of a simple recourse problem with fixed technology matrix and integer second-stage variables. Separability due to the simple recourse structure allows to study a one-dimensional version ...
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2005-08-08BuchStability of multistage stochastic programs Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an $L_r$-distance and of a distance ...
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2005-02-25BuchStochastic integer programming We consider empirical approximations of two-stage stochastic mixed-integer programs and derive central limit theorems for the objectives and optimal values. The limit theorems are based on empirical process theory and the ...
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2005-01-12BuchStress Testing for VaR an CVaR Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimization problems with these risk criteria is discussed. Whereas for ...
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2005-06-21BuchStructural Properties of Linear Probabilistic Constraints The paper provides a structural analysis of the feasible set defined by linear probabilistic constraints. Emphasis is laid on single (individual) probabilistic constraints. A classical convexity result by Van de Panna/Popp ...
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2005-07-06BuchThe value of multi-stage stochastic programming in capacity planning under uncertainty This paper addresses a general class of capacity planning problems under uncertainty, which arises, for example, in semiconductor tool purchase planning. Using a scenario tree to model the evolution of the uncertainties, ...
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2005-03-11BuchTwo-stage stochastic semidefinite programming and decomposition based interior point methods We introduce two stage stochastic semidefinite programs with recourse and present a Benders decomposition based linearly convergent interior point algorithm to solve them. This extends the results in Zhao [16] wherein it ...