Browsing Volume 2014 by Title
Now showing items 5-6 of 6
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2014-05-07BuchOn Distributionally Robust Multiperiod Stochastic Optimization This paper considers model uncertainty for multistage stochastic programs. The data and information structure of the baseline model is a tree, on which the decision problem is defined. We consider ambiguity neighborhoods ...
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2014-12-30BuchQuasi-Monte Carlo methods for linear two-stage stochastic programming problems Quasi-Monte Carlo algorithms are studied for generating scenarios to solve two-stage linear stochastic programming problems. Their integrands are piecewise linear-quadratic, but do not belong to the function spaces ...