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Learning Enabled Optimization: Towards a Fusion of Statistical Learning and Stochastic Optimization
Several emerging applications, such as “Analytics of Things" and “Integrative Analytics" call for a fusion of statistical learning (SL) and stochastic optimization (SO). The Learning Enabled Optimization paradigm fuses ...
A randomized method for handling a difficult function in a convex optimization problem, motivated by probabilistic programming
We propose a randomized gradient method for the handling of a convex function whose gradient computation is demanding. The method bears a resemblance to the stochastic approximation family. But in contrast to stochastic ...
Modeling farmers' response to uncertain rainfall in Burkina Faso
a stochastic programming approach
Farmers on the Central Plateau of Burkina Faso in West Africa cultivate under precarious con-ditions. Rainfall variability is extremely high in this area, and accounts for much of the uncertainty surrounding the farmers? ...
On Rates of Convergence for Stochastic Optimization Problems Under Non-I.I.D. Sampling
In this paper we discuss the issue of solving stochastic optimization problems bymeans of sample average approximations. Our focus is on rates of convergence of estimators of optimal solutions and optimal values with respect ...
Convergent Bounds for Stochastic Programs with Expected Value Constraints
This article elaborates a bounding approximation scheme for convexmultistage stochastic programs (MSP) that constrain the conditional expectation ofsome decision-dependent random variables. Expected value constraints of ...
Stability of multistage stochastic programs incorporating polyhedral risk measures
We analyse stability aspects of linear multistage stochastic programs with polyhedral risk measures inthe objective. In particular, we consider sensitivity of the optimal value with respect perturbations ofthe underlying ...
Airline Network Revenue Management by Multistage Stochastic Programming
A multistage stochastic programming approach to airline network revenue management is presented. The objective is to determine seatprotection levels for all itineraries, fare classes, point of sales of the airlinenetwork ...