Volume 2006
Recent Submissions
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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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2006-12-18BuchConvergent 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 decision-dependent random variables. Expected value constraints of ...
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2006-12-14BuchAirline 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 ...
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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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2006-12-07BuchShape-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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2006-11-21BuchCutting planes for multi-stage stochastic integer programs This paper addresses the problem of finding cutting planes for multi-stage stochastic integer programs.We give a general method for generating cutting planes for multi-stage stochastic integer programs basedon combining ...
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2006-10-27BuchA branch-and-cut algorithm for two-stage stochastic mixed-binary programs with continuous first-stage variables This paper presents a branch-and-cut method for two-stage stochastic mixed-integer programming (SMIP) problems with continuous first-stage variables. This method is derived based on disjunctive decomposition(D2) for SMIP, ...
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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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2006-10-27BuchRobust 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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2006-10-18BuchOptimal 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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2006-10-18BuchA 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 ...
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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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2006-05-15BuchConvexity 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 ...
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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 ...
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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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2006-03-09BuchEstimation 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, ...
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2006-03-20BuchModels 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, ...
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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 ...