Auflistung Volume 2006 nach Titel
Anzeige der Publikationen 12-23 von 23
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2006-12-18BuchOn Rates of Convergence for Stochastic Optimization Problems Under Non-I.I.D. Sampling In this paper we discuss the issue of solving stochastic optimization problems bymeans of sample average approximations. Our focus is on rates of convergence of estimators of optimal solutions and optimal values with respect ...
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2006-03-20BuchOn two-stage convex chance constrained problems In this paper we develop approximation algorithms for two-stage convex chance constrainedproblems. Nemirovski and Shapiro [16] formulated this class of problems and proposed anellipsoid-like iterative algorithm for the ...
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2006-10-18BuchOptimal Hedging Strategies for Multi-periodGuarantees in the Presence of Transaction Costs:A Stochastic Programming Approach Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive thehedging strategies ...
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2006-10-27BuchRobust solution and risk measures for a supply chain planning problem under uncertainty We consider a strategic supply chain planning problem formulated as a two-stageStochastic Integer Programming (SIP) model. The strategic decisions include sitelocations, choices of production, packing and distribution ...
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2006-10-26BuchScenario reduction in stochastic programming with respect to discrepancy distances Discrete approximations to chance constrained and mixed-integer two-stage stochastic programs require moderately sized scenario sets. The relevant distances of (multivariate) probability distributions for deriving quantitative ...
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2006-03-31BuchScenario tree modelling for multistage stochastic programs An important issue for solving multistage stochastic programs consists inthe approximate representation of the (multivariate) stochastic input process inthe form of a scenario tree. In this paper, forward and backward ...
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2006-12-07BuchShape-based Scenario Generation using Copulas The purpose of this article is to show how the multivariate structure (the ”shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To dothis we use the copula. As a result, ...
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2006-10-27BuchShort-term hydropower production planning by stochastic programming Within the framework of multi-stage mixed-integer linear stochastic programmingwe develop a short-term production plan for a price-taking hydropower plant op-erating under uncertainty. Current production must comply with ...
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2006-10-27BuchSome remarks on value-at-risk optimization We discuss two observations related to value-at-arisk optimization. First we consider a portfolio problem under an infinite number of value-at-risk inequality constraints (modelling first order stochastic dominance). The ...
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2006-12-14BuchStability of multistage stochastic programs incorporating polyhedral risk measures We analyse stability aspects of linear multistage stochastic programs with polyhedral risk measures inthe objective. In particular, we consider sensitivity of the optimal value with respect perturbations ofthe underlying ...
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2006-06-21BuchStability of ε-approximate solutions to convex stochastic programs An analysis of convex stochastic programs is provided if the underlying proba-bility distribution is subjected to (small) perturbations. It is shown, in particular,that ε-approximate solution sets of convex stochastic ...
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2006-04-15BuchStochastic programming for optimizing bidding strategies of a nordic hydropower producer From the point of view of a price-taking hydropower producer participating in the day-ahead power market, market prices are highly uncertain. The present paper provides a model for determining optimal bidding strategies ...