Browsing Volume 2012 by Title
Now showing items 310 of 10

20120220BuchGradient estimates for Gaussian distribution functions: Application to probabilistically constrained optimization problems We provide lower estimates for the norm of gradients of Gaussian distribution functions and apply the results obtained to a special class ofprobabilistically constrained optimization problems. In particular, it is shown ...

20120608BuchIntroduction to convex optimization in financial markets Convexity arises quite naturally in financial risk management. In riskpreferences concerning random cashflows, convexity corresponds to thefundamental diversification principle. Convexity is a basic property alsoof budget ...

20120319BuchMeasures of information in multistage stochastic programming(Bounds in Multistage Linear Stochastic Programming) Multistage stochastic programs, which involve sequences of decisions over time, areusually hard to solve in realistically sized problems. In the twostage case, several approaches basedon different levels of available ...

20120319BuchMultistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming Multistage stochastic programs (MSP) pose some of the more challenging optimizationproblems. Because such models can become rather intractable in general, it is important todesign algorithms that can provide approximations ...

20121031BuchOptimizing existing railway timetables by means of stochastic programming We present some models to find the best allocation of a limited amount of socalled runningtime supplements (extra minutes added to a timetable to reduce delays) on a railway line. Bythe best allocation, we mean the solution ...

20121013BuchQuantitative Stability Analysis of Stochastic Generalized Equations We consider the solution of a system of stochastic generalized equations (SGE) where theunderlying functions are mathematical expectation of random setvalued mappings. SGE hasmany applications such as characterizing ...

20120409BuchSDDP for multistage stochastic linear programs based on spectral risk measures We consider riskaverse formulations of multistage stochastic linear programs. Forthese formulations, based on convex combinations of spectral risk measures, riskaverse dynamicprogramming equations can be written. As a ...

20121123BuchThreshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix We develop a new modeling and exact solution method for stochastic programming problems thatinclude a joint probabilistic constraint in which the multirow random technology matrix is discretely distributed. We binarize ...