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510 Mathematik (8)
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510 Mathematik (8)
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  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2009
  • Search
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2009
  • Search

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2009-04-05Buch
A model for dynamic chance constraints in hydro power reservoir management 
Andrieu, L.; Henrion, R.; Römisch, W.
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 ...
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
Risk-Averse Two-Stage Stochastic LinearProgramming: Modeling and Decomposition 
Miller, N.; Ruszczynski, A.
We formulate a risk-averse two-stage 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 ...
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 ...
2009-05-19Buch
A computational study of a solver system for processing two-stage stochastic linear programming problems 
Zverovich, V.; Fábián, C.; Ellison, F.; Mitra, G.
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 ...
2009-04-22Buch
An enhanced model for portfolio choice with SSD criteria: a constructive approach 
Fábián, C.I.; Mitra, G.; Roman, D.; Zverovich, V.
We formulate a portfolio planning model which is based on Second-order Stochastic Dominance as the choice criterion. This model is an enhanced version of the multi-objective model proposed by Roman, Darby-Dowman, and Mitra ...
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 ...
2009-10-16Buch
Uncertainties in minimax stochastic programs 
Dupacová, J.
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 ...
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