Browsing Volume 2010 by Title

Now showing items 7-9 of 9

2010-06-04Buch

Reformulation of general chance constrained problems using the penalty functions

Branda, Martin

We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosenpenalty-type objectives. We show that the two problems are asymptotically equivalent. ...
2010-10-20Buch

Sampling-based decomposition methods for risk-averse multistage programs

Guigues, Vincent; Römisch, Werner

We define a risk averse nonanticipative feasible policy for multistage stochastic programsand propose a methodology to implement it. The approach is based on dynamic programmingequations written for a risk averse formulation ...
2010-05-25Buch

Stability and sensitivity analysis of stochastic programs with second order dominance constraints

Liu, Yongchao; Xu, Huifu

In this paper we present stability and sensitivity analysis of a stochastic optimizationproblem with stochastic second order dominance constraints. We consider perturbation of theunderlying probability measure in the space ...