Auflistung Volume 2008 nach Titel
Anzeige der Publikationen 8-14 von 14
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2008-07-02BuchNumerical 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 out-of-sample scenarios. The main ...
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2008-07-02BuchOn 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 ...
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2008-03-06BuchOn the convergence of stochastic dual dynamic programming and related methods We discuss the almost-sure convergence of a broad class of sampling algorithms for multi-stage stochastic linear programs. We provide a convergence proof based on the finiteness of the set of distinct cutcoefficients. This ...
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2008-07-02BuchProcessing Second-Order Stochastic Dominance models using cutting-plane representations Second-order 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. ...
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2008-04-05BuchScenario 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 ...
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2008-12-19BuchStochastic 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 ...
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2008-03-06BuchStochastic optimization models for a single-sink transportation problem In this paper we study a single-sink 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 ...