Volume 2008
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20081219BuchStochastic Nash Equilibrium Problems: Sample Average Approximation and Applications This paper presents a Nash equilibrium model where the underlying objective functionsinvolve uncertainties and nonsmoothness. The well known sample average approximationmethod is applied to solve the problem and the ﬁrst ...

20080916BuchApproximations and contamination bounds for probabilistic programs In this paper we aim at output analysis with respect to changes of the probability distribution for problems with probabilistic (chance) constraints. The perturbations are modeled via contamination of the initial probability ...

20080705BuchConvergence Analysis of a Weighted Barrier Decomposition Algorithm for Two Stage Stochastic Programming Mehrotra and Ozevin [7] computationally found that a weighted primal barrier decomposition algorithm signiﬁcantly outperforms the barrier decomposition proposed and analyzed in [11; 6; 8]. Thispaper provides a theoretical ...

20080702BuchNumerical Evaluation of Approximation Methods in Stochastic Programming We study an approach for the evaluation of approximation and solution methodsfor multistage linear stochastic programs by measuring the performance of the obtained solutions on a set of outofsample scenarios. The main ...

20080702BuchProcessing SecondOrder Stochastic Dominance models using cuttingplane representations Secondorder stochastic dominance (SSD) is widely recognised as an important decision criteria in portfolio selection. Unfortunately, stochastic dominance models can be very demanding from a computational point of view. ...

20080702BuchOn Stability of Multistage Stochastic Programs We study quantitative stability of linear multistage stochastic programs underperturbations of the underlying stochastic processes. It is shown that the optimalvalues behave Lipschitz continuous with respect to an ...

20080405BuchScenario tree reduction for multistage stochastic programs A framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The argument is based on ...

20080405BuchEpiconvergent scenario generation method for stochastic problems via sparse grid One central problem in solving stochastic programming problems is to generate moderatesized scenario trees which represent well the risk faced by a decision maker. In this paper we propose an efﬁcient scenario generation ...

20080317BuchDeltaHedging a Hydropower Plant Using Stochastic Programming An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inﬂow and electricity prices. Furthermore, the producers want to hedge the risk in the operating proﬁt. ...

20080307BuchDantzigWolfe decomposition for solving multistage stochastic capacityplanning problems We describe a multistage, stochastic, mixedintegerprogramming model for planning discrete capacity expansion of production facilities. A scenario tree represents uncertainty in the model; a general mixedinteger program ...

20080306BuchOn the convergence of stochastic dual dynamic programming and related methods We discuss the almostsure convergence of a broad class of sampling algorithms for multistage stochastic linear programs. We provide a convergence proof based on the ﬁniteness of the set of distinct cutcoefficients. This ...

20080306BuchStochastic optimization models for a singlesink transportation problem In this paper we study a singlesink transportation problem in which the production capacity of the suppliers and the demand of the single customer are stochastic. Shipments are performed by capacitated vehicles, which ...

20080306BuchA dynamic dayahead paratransit planning problem We consider a dynamic planning problem for the transport of elderly and disabled people. The focus is on a decision to make one day ahead:which requests to serve with own vehicles, and which ones to assign to subcontractors, ...

20080222BuchDisjunctive decomposition for twostage stochastic mixedbinary programs with random recourse This paper introduces disjunctive decomposition for twostage mixed 01 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting planes based on disjunctive programming to be ...