Browsing Volume 2012 by Title
Now showing items 1-10 of 10
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2012-09-24BuchAre Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? Quasi-Monte Carlo algorithms are studied for designing discrete approximationsof two-stage linear stochastic programs. Their integrands are piecewiselinear, but neither smooth nor lie in the function spaces considered for ...
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2012-12-21BuchConvex hull approximation of TU integer recourse models:Counterexamples, sufficient conditions, and special cases We consider a convex approximation for integer recourse models. In particular, we showthat the claim of Van der Vlerk (2004) that this approximation yields the convex hull of totallyunimodular (TU) integer recourse models ...
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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 ...
