Auflistung Volume 2012 nach Titel
Anzeige der Publikationen 3-10 von 10
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2012-02-20BuchGradient 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 ...
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2012-06-08BuchIntroduction to convex optimization in financial markets Convexity arises quite naturally in financial risk management. In riskpreferences concerning random cash-flows, convexity corresponds to thefundamental diversification principle. Convexity is a basic property alsoof budget ...
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2012-03-19BuchMeasures of information in multi-stage 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 two-stage case, several approaches basedon different levels of available ...
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2012-03-19BuchMultistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming Multi-stage 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 ...
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2012-10-31BuchOptimizing existing railway timetables by means of stochastic programming We present some models to find the best allocation of a limited amount of so-called runningtime supplements (extra minutes added to a timetable to reduce delays) on a railway line. Bythe best allocation, we mean the solution ...
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2012-10-13BuchQuantitative 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 set-valued mappings. SGE hasmany applications such as characterizing ...
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2012-04-09BuchSDDP for multistage stochastic linear programs based on spectral risk measures We consider risk-averse formulations of multistage stochastic linear programs. Forthese formulations, based on convex combinations of spectral risk measures, risk-averse dynamicprogramming equations can be written. As a ...
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2012-11-23BuchThreshold 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 multi-row random technology matrix is discretely distributed. We binarize ...