Browsing Volume 2007 by Title
Now showing items 112 of 12

20070603BuchA BranchandBound Method for Multistage Stochastic Integer Programs with Risk Objectives We identify multistage stochastic integer programs with risk objectives where the related waitandsee problems enjoy similar separability as in the risk neutral case. For models belonging to this classwe present a solution ...

20070529BuchA Short Note on the Probabilistic Set Covering Problem In this paper we address the following probabilistic version (PSC) of the set coveringproblem: $ min{cx  P(Ax ≥ ξ) ≥ p, x_j \in {0, 1} j \in N }$ where A is a 01 matrix, ξis a random 01 vector and $p \in (0, 1]$ is the ...

20070810BuchAlgorithms for handling CVaRconstraints in dynamic stochastic programming models with applications to finance We propose dual decomposition and solution schemes for multistage CVaRconstrained problems. These schemes meet the need for handling multiple CVaRconstraints for different time frames and at different confidence levels. ...

20070529BuchAn Exact Solution Approach for Portfolio Optimization Problems under Stochastic and Integer Constraints In this paper, we study extensions of the classical Markowitz’ meanvariance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing aprobabilistic constraint imposing ...

20070704BuchComputations with Disjunctive Cuts for TwoStage Stochastic Mixed 01 Integer Programs Twostage stochastic mixedinteger programming (SMIP) problems with recourse are generally difficult to solve. This paper presents a ﬁrst computationalstudy of a disjunctive cutting plane method for stochastic mixed 01 ...

20070805BuchDecomposition of Multistage Stochastic Programs with Recombining Scenraio Trees This paper presents a decomposition approach for linear multistage stochasticprograms, that is based on the concept of recombining scenario trees. The latter, widely applied in Mathematical Finance, may prevent the node ...

20070529BuchMIP Reformulations of the Probabilistic Set Covering Problem In this paper we address the following probabilistic version (PSC) of the set covering problem: $ min{cx  P(Ax ≥ ξ) ≥ p, x_j \in {0, 1}N }$ where A is a 01 matrix, ξ is arandom 01 vector and $p \in (0, 1]$ is the ...

20071207BuchOn Mstationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling Modeling several competitive leaders and followers acting in an electricity marketleads to coupled systems of mathematical programs with equilibrium constraints,called equilibrium problems with equilibrium constraints ...

20071207BuchQuantitative stability of fully random mixedinteger twostage stochastic programs Mixedinteger twostage stochastic programs with ﬁxed recourse matrix, random recourse costs, technology matrix, and righthand sides areconsidered. Quantitative continuity properties of its optimal value and solution set ...

20070603BuchSecondOrder Stochastic Dominance Constraints Induced by MixedInteger Linear Recourse We introduce stochastic integer programs with dominance constraints induced by mixedinteger linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is ...

20070708BuchSelfconcordant Tree and Decomposition Based Interior Point Methods for Stochastic Convex Optimization Problem We consider barrier problems associated with two and multistage stochastic convex optimization problems. We show that the barrier recourse functions at any stage form a selfconcordant family with respect to the barrier ...

20070603BuchStochastic Programs with FirstOrder Dominance Constraints Induced by MixedInteger Linear Recourse We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixedinteger linear recourse. For these models, we establish closedness of theconstraint set mapping with ...