RSS 1.0Volume 2009
Recent Submissions
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2009-10-16BuchUncertainties 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 ...
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2009-10-16BuchDay-Ahead Market Bidding for a NordicHydropower Producer: Taking the ElbasMarket into Account 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 ...
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2009-10-16BuchRisk-Averse Two-Stage Stochastic LinearProgramming: Modeling and Decomposition 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 ...
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2009-10-16BuchOn probabilistic constraints induced by rectangular sets and multivariate normal distributions 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 ...
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2009-07-24BuchThe role of information in multi-period risk measurement Multi-period risk functionals assign a risk value to a discrete-time stochasticprocess $Y = (Y_1 , . . . , Y_T )$. While convexity and monotonicity properties extend ina natural way from the single-period case and several ...
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2009-05-22BuchFenchel Decomposition for Stochastic Mixed-IntegerProgramming 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 ...
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2009-05-19BuchA computational study of a solver system for processing two-stage 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 ...
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2009-04-22BuchAn enhanced model for portfolio choice with SSD criteria: a constructive approach 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 ...
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2009-04-05BuchA 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 ...
