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Volume 2010
Recent Submissions
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2010-11-29BuchA computational study of a solver system forprocessing two-stage stochastic linearprogramming problems
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2010-11-19BuchConstruction of Risk-Averse Enhanced Index Funds We propose a partial replication strategy to construct risk-averse enhanced index funds. Our model takes into account the parameter estimation risk by defining the asset returns and the return covariance terms as random ...
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2010-10-20BuchSampling-based decomposition methods for risk-averse multistage programs 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 ...
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2010-10-19BuchOn joint probabilistic constraints with Gaussian coefficient matrix The paper deals with joint probabilistic constraints defined by a Gaussiancoefficient matrix. It is shown how to explicitly reduce the computation ofvalues and gradients of the underlying probability function to that of ...
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2010-08-25BuchPattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems We propose a new modeling and solution method for probabilistically constrained optimization problems.The methodology is based on the integration of the stochastic programming and combinatorialpattern recognition fields. ...
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2010-08-25BuchConvex duality in stochastic programming and mathematical finance This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality ...
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2010-05-25BuchStability and sensitivity analysis of stochastic programs with second order dominance constraints 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 ...
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2010-06-04BuchReformulation of general chance constrained problems using the penalty functions 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. ...
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2010-06-04BuchA comparison of sample-based stochastic optimal control methods In this paper, we compare the performance of two scenario-based numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists in finding strategies to control a dynamicalsystem ...
