Volume 2006
Recent Submissions

20061218BuchOn Rates of Convergence for Stochastic Optimization Problems Under NonI.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 ...

20061218BuchConvergent Bounds for Stochastic Programs with Expected Value Constraints This article elaborates a bounding approximation scheme for convexmultistage stochastic programs (MSP) that constrain the conditional expectation ofsome decisiondependent random variables. Expected value constraints of ...

20061214BuchAirline Network Revenue Management by Multistage Stochastic Programming A multistage stochastic programming approach to airline network revenue management is presented. The objective is to determine seatprotection levels for all itineraries, fare classes, point of sales of the airlinenetwork ...

20061214BuchStability 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 ...

20061207BuchShapebased 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, ...

20061121BuchCutting planes for multistage stochastic integer programs This paper addresses the problem of finding cutting planes for multistage stochastic integer programs.We give a general method for generating cutting planes for multistage stochastic integer programs basedon combining ...

20061027BuchA branchandcut algorithm for twostage stochastic mixedbinary programs with continuous firststage variables This paper presents a branchandcut method for twostage stochastic mixedinteger programming (SMIP) problems with continuous firststage variables. This method is derived based on disjunctive decomposition(D2) for SMIP, ...

20061027BuchShortterm hydropower production planning by stochastic programming Within the framework of multistage mixedinteger linear stochastic programmingwe develop a shortterm production plan for a pricetaking hydropower plant operating under uncertainty. Current production must comply with ...

20061027BuchSome remarks on valueatrisk optimization We discuss two observations related to valueatarisk optimization. First we consider a portfolio problem under an infinite number of valueatrisk inequality constraints (modelling first order stochastic dominance). The ...

20061027BuchRobust solution and risk measures for a supply chain planning problem under uncertainty We consider a strategic supply chain planning problem formulated as a twostageStochastic Integer Programming (SIP) model. The strategic decisions include sitelocations, choices of production, packing and distribution ...

20061026BuchScenario reduction in stochastic programming with respect to discrepancy distances Discrete approximations to chance constrained and mixedinteger twostage stochastic programs require moderately sized scenario sets. The relevant distances of (multivariate) probability distributions for deriving quantitative ...

20061018BuchOptimal Hedging Strategies for MultiperiodGuarantees in the Presence of Transaction Costs:A Stochastic Programming Approach Multiperiod guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multiperiod guarantees in the presence of transaction costs. We derive thehedging strategies ...

20061018BuchA JELS Stochastic inventory model with random demand A stochastic joint lot size model has been developed in which demand ofthe customer and the stock level of the vendor are assumed to be identicallydistributed continuous random variables. The effective ways for a ...

20060621BuchStability of εapproximate solutions to convex stochastic programs An analysis of convex stochastic programs is provided if the underlying probability distribution is subjected to (small) perturbations. It is shown, in particular,that εapproximate solution sets of convex stochastic ...

20060515BuchConvexity of chance constraints with independent random variables We investigate the convexity of chance constraints with independent random variables. It will be shown, how concavity properties of the mapping related to the decision vector have to be combined with a suitable property ...

20060415BuchStochastic programming for optimizing bidding strategies of a nordic hydropower producer From the point of view of a pricetaking hydropower producer participating in the dayahead power market, market prices are highly uncertain. The present paper provides a model for determining optimal bidding strategies ...

20060331BuchScenario 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 ...

20060309BuchEstimation method of multivariate exponential probabilities based on a simplex coordinates transform A novel unbiased estimator for estimating the probability mass of a multivariate exponential distribution over a measurable set is introduced and is called the Exponential Simplex (ES) estimator. For any measurable set, ...

20060320BuchModels for nuclear smuggling interdiction We describe two stochastic network interdiction models for thwarting nuclear smuggling.In the ﬁrst model, the smuggler travels through a transportation network on a path thatmaximizes the probability of evading detection, ...

20060320BuchOn twostage convex chance constrained problems In this paper we develop approximation algorithms for twostage convex chance constrainedproblems. Nemirovski and Shapiro [16] formulated this class of problems and proposed anellipsoidlike iterative algorithm for the ...