Volume 2009
Neuzugänge

20091016BuchUncertainties in minimax stochastic programs When using the minimax approach one tries to hedge against the worst possible distribution belonging to a speciﬁed class P. A suitable stability analysis of results with respect to the choice of this class is an important ...

20091016BuchDayAhead Market Bidding for a NordicHydropower Producer: Taking the ElbasMarket into Account In many power markets around the world the energy generation decisions result from twosidedauctions in which producing and consuming agents submit their pricequantity bids. Thedetermination of optimal bids in power markets ...

20091016BuchRiskAverse TwoStage Stochastic LinearProgramming: Modeling and Decomposition We formulate a riskaverse twostage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures.We ...

20091016BuchOn probabilistic constraints induced by rectangular sets and multivariate normal distributions In this paper, we consider optimization problems under probabilistic constraints which aredeﬁned by twosided inequalities for the underlying normally distributed random vector. Asa main step for an algorithmic solution ...

20090724BuchThe role of information in multiperiod risk measurement Multiperiod risk functionals assign a risk value to a discretetime stochasticprocess $Y = (Y_1 , . . . , Y_T )$. While convexity and monotonicity properties extend ina natural way from the singleperiod case and several ...

20090522BuchFenchel Decomposition for Stochastic MixedIntegerProgramming This paper introduces a new cutting plane method for twostage stochastic mixedinteger programming (SMIP) called Fenchel decomposition (FD). FD usesa class of valid inequalities termed, FD cuts, which are derived based ...

20090519BuchA computational study of a solver system for processing twostage stochastic linear programming problems Formulation of stochastic optimisation problems and computational algorithms for their solution continue to make steady progress as can be seenfrom an analysis of many developments in this ﬁeld. The edited volume by Wallace ...

20090422BuchAn enhanced model for portfolio choice with SSD criteria: a constructive approach We formulate a portfolio planning model which is based on Secondorder Stochastic Dominance as the choice criterion. This model is an enhanced version of the multiobjective model proposed by Roman, DarbyDowman, and Mitra ...

20090405BuchA model for dynamic chance constraints in hydro power reservoir management In this paper, a model for (joint) dynamic chance constraints is proposed and applied to an optimization problem in water reservoir management. The model relies on discretization of the decision variables but keeps the ...