Browsing Volume 2007 by Title
Now showing items 1-12 of 12
-
2007-06-03BuchA Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives We identify multistage stochastic integer programs with risk objectives where the related wait-and-see problems enjoy similar separability as in the risk neutral case. For models belonging to this classwe present a solution ...
-
2007-05-29BuchA 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 0-1 matrix, ξis a random 0-1 vector and $p \in (0, 1]$ is the ...
-
2007-08-10BuchAlgorithms for handling CVaR-constraints in dynamic stochastic programming models with applications to finance We propose dual decomposition and solution schemes for multistage CVaR-constrained problems. These schemes meet the need for handling multiple CVaR-constraints for different time frames and at different confidence levels. ...
-
2007-05-29BuchAn Exact Solution Approach for Portfolio Optimization Problems under Stochastic and Integer Constraints In this paper, we study extensions of the classical Markowitz’ mean-variance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing aprobabilistic constraint imposing ...
-
2007-07-04BuchComputations with Disjunctive Cuts for Two-Stage Stochastic Mixed 0-1 Integer Programs Two-stage stochastic mixed-integer 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 0-1 ...
-
2007-08-05BuchDecomposition 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 ...
-
2007-05-29BuchMIP Reformulations of the Probabilistic Set Covering Problem In this paper we address the following probabilistic version (PSC) of the set cover-ing problem: $ min{cx | P(Ax ≥ ξ) ≥ p, x_j \in {0, 1}N }$ where A is a 0-1 matrix, ξ is arandom 0-1 vector and $p \in (0, 1]$ is the ...
-
2007-12-07BuchOn M-stationary 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 ...
-
2007-12-07BuchQuantitative stability of fully random mixed-integer two-stage stochastic programs Mixed-integer two-stage stochastic programs with fixed recourse matrix, random recourse costs, technology matrix, and right-hand sides areconsidered. Quantitative continuity properties of its optimal value and solution set ...
-
2007-06-03BuchSecond-Order Stochastic Dominance Constraints Induced by Mixed-Integer Linear Recourse We introduce stochastic integer programs with dominance constraints induced by mixed-integer linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is ...
-
2007-07-08BuchSelf-concordant 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 self-concordant family with respect to the barrier ...
-
2007-06-03BuchStochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish closedness of theconstraint set mapping with ...
