Browsing Volume 2009 by Subject "stochastic programming"

Now showing items 1-3 of 3

2009-10-16Buch

Day-Ahead Market Bidding for a NordicHydropower Producer: Taking the ElbasMarket into Account

Faria, E.; Fleten, St..-E.

In many power markets around the world the energy generation decisions result from two-sidedauctions in which producing and consuming agents submit their price-quantity bids. Thedetermination of optimal bids in power markets ...
2009-05-22Buch

Fenchel Decomposition for Stochastic Mixed-IntegerProgramming

Ntaimo, L.

This paper introduces a new cutting plane method for two-stage stochastic mixed-integer programming (SMIP) called Fenchel decomposition (FD). FD usesa class of valid inequalities termed, FD cuts, which are derived based ...
2009-10-16Buch

On probabilistic constraints induced by rectangular sets and multivariate normal distributions

Ackooij, W. Van; Henrion, R.; Möller, A.; Zorgati, R.

In this paper, we consider optimization problems under probabilistic constraints which aredeﬁned by two-sided inequalities for the underlying normally distributed random vector. Asa main step for an algorithmic solution ...