Search Results - "STOCHASTIC PROGRAMS"

MUSE-BB: a decomposition algorithm for nonconvex two-stage problems using strong multisection branching

Authors: Marco Langiu Manuel Dahmen Dominik Bongartz et al.

Source: Journal of global optimization 92, 837-888 (2025). doi:10.1007/s10898-025-01489-2
Journal of global optimization 92(4), 837-888 (2025). doi:10.1007/s10898-025-01489-2

Subject Terms: Technology, Operations Research, Two-stage stochastic programming, Mathematics, Applied, STOCHASTIC PROGRAMS, Clustering, Convergence analysis, GENERALIZED BENDERS DECOMPOSITION, 0102 Applied Mathematics, 4901 Applied mathematics, GLOBAL OPTIMIZATION, CLUSTER PROBLEM, 0802 Computation Theory and Mathematics, INTEGER NONLINEAR PROGRAMS, Decomposition, Science & Technology, 4602 Artificial intelligence, Operations Research & Management Science, 0103 Numerical and Computational Mathematics, CUT ALGORITHM, Physical Sciences, 4903 Numerical and computational mathematics, Multisection, Mathematics

Access URL: https://juser.fz-juelich.de/record/1044195
https://publications.rwth-aachen.de/record/1010843

Nonasymptotic Upper Estimates for Errors of the Sample Average Approximation Method to Solve Risk-Averse Stochastic Programs: Nonasymptotic upper estimates for errors of the sample average approximation method to solve risk-averse stochastic programs

Authors: Volker Krätschmer

Source: SIAM Journal on Optimization. 34:1264-1294

Subject Terms: mean upper semideviations, Probability (math.PR), VC-subgraph classes, 0211 other engineering and technologies, Stochastic programming, divergence risk measures, covering numbers, 02 engineering and technology, Talagrand's inequalities, 01 natural sciences, 90C15, 60E15, 60B12, Optimization and Control (math.OC), Mathematik, sample average approximation, FOS: Mathematics, Inequalities, stochastic orderings, risk-averse stochastic programs, Limit theorems for vector-valued random variables (infinite-dimensional case), 0101 mathematics, Mathematics - Optimization and Control, Mathematics - Probability

File Description: application/xml

Access URL: http://arxiv.org/abs/2301.05539

Lagrangian decomposition for stochastic TIMES energy system optimization model

Authors: Yujun Zhu Ju Ming

Source: AIMS Mathematics, Vol 7, Iss 5, Pp 7964-7996 (2022)

Subject Terms: lagrangian relaxation, 13. Climate action, the times model, stochastic extension, QA1-939, two-stage stochastic programs with recourse, scenario decomposition, 7. Clean energy, Mathematics, supergradient ascent method

Access URL: https://doaj.org/article/c9cbf5dd76d748c4a9cc97a8abf210cc

Bounds in multi-horizon stochastic programs

Authors: Maggioni, Francesca Allevi, Elisabetta Tomasgard, Asgeir

Source: Annals of Operations Research. 292:605-625

Subject Terms: Bounds, Multi-horizon, Stochastic programs, Energy, Strategic decisions, Operational decisions, Keywords bounds multi-horizon stochastic programs energy strategic decisions operational decisions, 0211 other engineering and technologies, 02 engineering and technology

File Description: application/pdf

Access URL: https://ntnuopen.ntnu.no/ntnu-xmlui/bitstream/11250/2650980/1/Bounds_multihorizon_R2.pdf
https://hdl.handle.net/10446/138717
https://doi.org/10.1007/s10479-019-03244-9

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Authors: John W. Polak Sebastian Maier Georg Ch. Pflug et al.

Contributors: John W. Polak Sebastian Maier Georg Ch. Pflug et al.

Source: European Journal of Operational Research. 285:133-147

Subject Terms: Operations Research, Endogenous uncertainty, INVESTMENT, RESEARCH-AND-DEVELOPMENT, VALUATION, 0211 other engineering and technologies, Decision/state-dependent uncertainty, Stochastic optimisation, STOCHASTIC PROGRAMS, 02 engineering and technology, 101015 Operations Research, Real options portfolio, Stochastic processes, SYSTEMS, 101015 Operations research, MD Multidisciplinary, SIMULATION, DECISIONS, 0202 electrical engineering, electronic engineering, information engineering, TECHNOLOGY, STRATEGY, OPTIMIZATION

File Description: text

Access URL: http://pure.iiasa.ac.at/id/eprint/15806/
https://www.sciencedirect.com/science/article/abs/pii/S0377221719300906
https://ideas.repec.org/a/eee/ejores/v285y2020i1p133-147.html
https://dblp.uni-trier.de/db/journals/eor/eor285.html#MaierPP20
https://www.sciencedirect.com/science/article/pii/S0377221719300906
https://doi.org/10.1016/j.ejor.2019.01.055
http://hdl.handle.net/10044/1/66014
https://pure.iiasa.ac.at/id/eprint/15806/
https://discovery-pp.ucl.ac.uk/id/eprint/10107536/

Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs

Authors: Francesca Maggioni Georg Ch. Pflug

Source: SIAM Journal on Optimization. 29:454-483

Subject Terms: 101016 Optimisation, 0211 other engineering and technologies, 02 engineering and technology, Risk measures, 01 natural sciences, 101015 Operations Research, Barycentric approximations, First-order stochastic dominance, Bounds, 101015 Operations research, Convex stochastic dominance, 0101 mathematics, 101016 Optimierung, Multistage stochastic programs

File Description: text

Access URL: http://pure.iiasa.ac.at/id/eprint/15767/1/10.1137%4017M1140601.pdf
http://pure.iiasa.ac.at/id/eprint/15767/
https://dblp.uni-trier.de/db/journals/siamjo/siamjo29.html#MaggioniP19
https://aisberg.unibg.it/handle/10446/134539
https://epubs.siam.org/doi/pdf/10.1137/17M1140601
http://pure.iiasa.ac.at/id/eprint/15767/

A stochastic model for a macroscale hybrid renewable energy system

Authors: Selin Kocaman, A. Abad, C. Troy, T.J. et al.

Source: Renewable and Sustainable Energy Reviews

Subject Terms: Digital storage, Infrastructure sizing, Systems analysis, India, 02 engineering and technology, 7. Clean energy, Solar power generation, Cost reduction, Electric power transmission networks, Solar energy, 0202 electrical engineering, electronic engineering, information engineering, Transmission network, Two-stage stochastic programs, Stochastic systems, Electric power generation, Resource sharing, Renewable energy resources, Stochastic models, Two-stage stochastic program, 13. Climate action, Hydroelectric power plants, Hydroelectric power, Reservoirs (water), Hydropower

File Description: application/pdf

Access URL: http://repository.bilkent.edu.tr/bitstream/11693/21036/1/A_stochastic_model_for_a_macroscale_hybrid_renewable_energy_system.pdf
http://repository.bilkent.edu.tr/bitstream/11693/21036/1/A_stochastic_model_for_a_macroscale_hybrid_renewable_energy_system.pdf
https://EconPapers.repec.org/RePEc:eee:rensus:v:54:y:2016:i:c:p:688-703
http://repository.bilkent.edu.tr/handle/11693/21036
https://www.sciencedirect.com/science/article/pii/S1364032115010795
https://ideas.repec.org/a/eee/rensus/v54y2016icp688-703.html
https://hdl.handle.net/11693/21036
https://hdl.handle.net/11693/36779

K-adaptability in two-stage distributionally robust binary programming

Authors: Hanasusanto, G Kuhn, D Wiesemann, W et al.

Contributors: Hanasusanto, G Kuhn, D Wiesemann, W et al.

Source: Operations Research Letters. 44:6-11

Subject Terms: Technology, Operations Research, 0209 industrial biotechnology, POWER, 0211 other engineering and technologies, Social Sciences, STOCHASTIC PROGRAMS, 02 engineering and technology, programming, integer, Business & Economics, 0102 Applied Mathematics, stochastic, OPTIMIZATION, CUT, 0802 Computation Theory and Mathematics, DECOMPOSITION ALGORITHM, Science & Technology, FINITE ADAPTABILITY, Operations Research & Management Science, FRAMEWORK, Management, APPROXIMATION ALGORITHMS, 1503 Business and Management, INTEGER RECOURSE

Access URL: http://manuscript.elsevier.com/S0167637715001376/pdf/S0167637715001376.pdf
https://core.ac.uk/display/148012178
https://spiral.imperial.ac.uk/handle/10044/1/24503
http://www.sciencedirect.com/science/article/pii/S0167637715001376
http://www.optimization-online.org/DB_HTML/2015/04/4878.html
https://www.sciencedirect.com/science/article/pii/S0167637715001376
https://spiral.imperial.ac.uk/bitstream/10044/1/29948/8/4878.pdf
http://hdl.handle.net/10044/1/24503

Risk averse scheduling by a PEV aggregator under uncertainty

Authors: Momber, Ilan Siddiqui, A. Roman, T. G. S. et al.

Source: IEEE Transactions on Power Systems. 30(2):882-891

Subject Terms: Conditional value-at-risk (CVaR), optimal PEV charging schedule, plug-in electric vehicle (PEV) aggregator, risk aversion, stochastic linear programming, Airships, Algorithms, Commerce, Electric power system planning, Electric power systems, Electric vehicles, Linear programming, Optimization, Profitability, Scheduling, Stochastic systems, Value engineering, Vehicles, Conditional Value-at-Risk, Efficient allocations, Linear stochastic programs, Objective functions, Optimization algorithms, Plug in Electric Vehicle (PEV), Fleet operations

File Description: print

Access URL: https://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-167766

Convex approximations for a class of mixed-integer recourse models

Authors: Vlerk, Maarten H. van der Higle, Julie L. Römisch, Werner et al.

Contributors: Vlerk, Maarten H. van der Higle, Julie L. Römisch, Werner et al.

Source: Annals of Operations Research. 177:139-150

Subject Terms: ddc:510, Convex approximation, RISK, Decision Sciences(all), convex approximation, 0211 other engineering and technologies, 510 Mathematik, STOCHASTIC PROGRAMS, Waarschijnlijkheidsrekening, 02 engineering and technology, Management Science and Operations Research, Mixed-integer recourse, BRANCH, Mathematische programmering, mixed-integer recourse

File Description: application/pdf

Access URL: https://link.springer.com/content/pdf/10.1007%2Fs10479-009-0591-7.pdf
https://hdl.handle.net/11370/c20c4529-920d-44fd-be03-227b5359e7ed
https://research.rug.nl/en/publications/c20c4529-920d-44fd-be03-227b5359e7ed
https://hdl.handle.net/11370/6fb5ec81-9eef-4e6c-9a99-802da73ec0de
https://research.rug.nl/en/publications/6fb5ec81-9eef-4e6c-9a99-802da73ec0de
https://doi.org/10.1007/s10479-009-0591-7
https://research.rug.nl/en/publications/ba4e3032-16ee-4714-adde-44dabfa03f11
https://hdl.handle.net/11370/ba4e3032-16ee-4714-adde-44dabfa03f11
https://ideas.repec.org/a/spr/annopr/v177y2010i1p139-15010.1007-s10479-009-0591-7.html
https://www.rug.nl/research/portal/files/2944949/04A28.pdf
https://paperity.org/p/11962534/convex-approximations-for-a-class-of-mixed-integer-recourse-models
https://rd.springer.com/content/pdf/10.1007%2Fs10479-009-0591-7.pdf
https://edoc.hu-berlin.de/handle/18452/8991
https://core.ac.uk/display/81747360
http://irs.ub.rug.nl/ppn/274751941

Convex approximations for complete integer recourse models

Authors: Vlerk, Maarten H. van der Higle, Julie L. Römisch, Werner et al.

Contributors: Vlerk, Maarten H. van der Higle, Julie L. Römisch, Werner et al.

Source: Mathematical Programming. 99:297-310

Subject Terms: ddc:510, stochastic programming, convex approximation, 0211 other engineering and technologies, Stochastic programming, Integer programming, 510 Mathematik, STOCHASTIC PROGRAMS, 02 engineering and technology, Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.), integer recourse

File Description: application/xml; application/pdf

Access URL: https://edoc.hu-berlin.de/bitstream/18452/8926/1/10.pdf
https://zbmath.org/2077960
https://doi.org/10.1007/s10107-003-0434-2
https://hdl.handle.net/11370/11b7cff4-2cf9-47b7-999c-4f9357b7c66b
https://research.rug.nl/en/publications/11b7cff4-2cf9-47b7-999c-4f9357b7c66b
https://research.rug.nl/en/publications/b662f0a4-048a-494a-9b6f-c0815aaa4770
https://hdl.handle.net/11370/b662f0a4-048a-494a-9b6f-c0815aaa4770
https://research.rug.nl/en/publications/9dfbab71-99f1-4254-a462-6611bbe1daad
https://hdl.handle.net/11370/9dfbab71-99f1-4254-a462-6611bbe1daad
https://doi.org/10.1007/s10107-003-0434-2
https://research.rug.nl/en/publications/9761f968-c343-4741-aa15-e62fc35d715e
https://hdl.handle.net/11370/9761f968-c343-4741-aa15-e62fc35d715e
https://pure.rug.nl/ws/files/3053829/02a21.pdf
https://edoc.hu-berlin.de/bitstream/18452/8926/1/10.pdf
https://www.narcis.nl/publication/RecordID/oai%3Apure.rug.nl%3Apublications%2Fb662f0a4-048a-494a-9b6f-c0815aaa4770
https://edoc.hu-berlin.de/handle/18452/8926
https://www.rug.nl/research/portal/publications/convex-approximations-for-complete-integer-recourse-models(9dfbab71-99f1-4254-a462-6611bbe1daad).html
https://research.rug.nl/nl/publications/convex-approximations-for-complete-integer-recourse-models-2
http://edoc.hu-berlin.de/18452/8926
https://doi.org/10.18452/8274
http://irs.ub.rug.nl/ppn/239644395

A branch-and-cluster coordination scheme for selecting prison facility sites under uncertainty

Authors: Hernández, Patricio Alonso-Ayuso, Antonio Bravo, Fernanda et al.

Source: Articulos_ANID
Agencia Nacional de Investigación y Desarrollo
instacron:ANID
Conicyt_qa
ANID
COMPUTERS & OPERATIONS RESEARCH
Artículos CONICYT
CONICYT Chile
instacron:CONICYT

Subject Terms: DECOMPOSITION, 0209 industrial biotechnology, Prison facility location, Stochastic integer programming, 0211 other engineering and technologies, Branch-and-fix coordination, STOCHASTIC PROGRAMS, 02 engineering and technology, Multi-period scenario tree

File Description: 10 páginas; application/pdf

Access URL: https://www.dii.uchile.cl/wp-content/uploads/2015/09/2012-A-branch-and-cluster-coordination-scheme-for-selecting-prison-facility-sites-under-uncertainty.pdf
http://www.dii.uchile.cl/wp-content/uploads/2015/09/2012-A-branch-and-cluster-coordination-scheme-for-selecting-prison-facility-sites-under-uncertainty.pdf
https://repositorio.uchile.cl/handle/2250/125581?show=full
https://core.ac.uk/display/44622411
https://www.sciencedirect.com/science/article/pii/S0305054811003315
http://www.sciencedirect.com/science/article/pii/S0305054811003315
https://hdl.handle.net/10533/129310
https://repositorio-qa.anid.cl/handle/10533/129311
https://hdl.handle.net/10533/129312
https://repositorio-qa.anid.cl/handle/10533/129310
https://hdl.handle.net/10533/129311
http://hdl.handle.net/10533/129312
http://hdl.handle.net/10533/129311
https://repositorio-qa.anid.cl/handle/10533/129312
http://hdl.handle.net/10533/129310

Quantitative Stability Analysis of Stochastic Generalized Equations

Authors: Liu, Yongchao Römisch, Werner Xu, Huifu et al.

Contributors: Liu, Yongchao Römisch, Werner Xu, Huifu et al.

Subject Terms: stability analysis, stochastic semi-infinite programming, stochastic generalized equations, equicontinuity, one stage stochastic programs, two stage stochastic programs, tow stage SMPCs, 510 Mathematik, ddc:510

File Description: application/pdf

Relation: https://doi.org/10.18452/8426

Availability: http://edoc.hu-berlin.de/18452/9078
https://nbn-resolving.org/urn:nbn:de:kobv:11-100204906
https://doi.org/10.18452/8426

On the implementation of a log-barrier progressive hedging method for multistage stochastic programs

Authors: Liu, X. Toh, K.-C. Zhao, G. et al.

Contributors: Liu, X. Toh, K.-C. Zhao, G. et al.

Source: Journal of Computational and Applied Mathematics. 234:579-592

Subject Terms: Computational Mathematics, Applied Mathematics, 0211 other engineering and technologies, Lagrangian dual, Log-barrier method, 02 engineering and technology, 0101 mathematics, Progressive hedging method, 01 natural sciences, Multistage stochastic programs

Access URL: http://www.math.nus.edu.sg/~matzgy/papers/bphm3.pdf
http://www.sciencedirect.com/science/article/pii/S0377042710000026
https://www.sciencedirect.com/science/article/pii/S0377042710000026
https://doi.org/10.1016/j.cam.2009.12.050
https://dialnet.unirioja.es/servlet/articulo?codigo=3191647
https://dblp.uni-trier.de/db/journals/jcam/jcam234.html#LiuTZ10

Operations risk management by optimally planning the qualified workforce capacity

Authors: Fragniere, Emmanuel Gondzio, Jacek Yang, Xi

Source: Fragniere, E, Gondzio, J & Yang, X 2010, ' Operations risk management by optimally planning the qualified workforce capacity ', European Journal of Operational Research, vol. 202, no. 2, pp. 518-527 . https://doi.org/10.1016/j.ejor.2009.05.026

Subject Terms: Operational risk management, Manpower planning, Information Systems and Management, 05 social sciences, 0211 other engineering and technologies, STOCHASTIC PROGRAMS, 02 engineering and technology, Management Science and Operations Research, Endogenous stochastic programming, MODEL, Bayesian network, Modelling and Simulation, 8. Economic growth, 0502 economics and business

File Description: application/pdf

Access URL: http://www.maths.ed.ac.uk/~gondzio/reports/fgyRisk.pdf
https://hdl.handle.net/20.500.11820/9f97d7b9-8ab3-4be8-92da-a308e1e0f579
https://www.pure.ed.ac.uk/ws/files/10365344/Operations_risk_management_by_optimally_planning_the_qualified_workforce_capacity.pdf

Bounding Multistage Stochastic Programs: A Scenario Tree Based Approach

Authors: MAGGIONI, Francesca Allevi, Elisabetta

Source: Springer Proceedings in Mathematics & Statistics ISBN: 9783319673073

Subject Terms: Multistage stochastic programs, Bounds, Group subproblems, 0211 other engineering and technologies, 02 engineering and technology, 0101 mathematics, 01 natural sciences, Mathematics (all)

File Description: application/pdf

Access URL: https://aisberg.unibg.it/handle/10446/100388
https://core.ac.uk/display/153538901
https://link.springer.com/chapter/10.1007%2F978-3-319-67308-0_41
https://rd.springer.com/chapter/10.1007/978-3-319-67308-0_41
https://hdl.handle.net/10446/100388
https://doi.org/10.1007/978-3-319-67308-0_41

On a Class of Minimax Stochastic Programs: On a class of minimax stochastic programs

Authors: Alexander Shapiro Shabbir Ahmed

Source: SIAM Journal on Optimization. 14:1237-1249

Subject Terms: deviation from a quantile, worst case distribution, 0211 other engineering and technologies, Stochastic programming, 02 engineering and technology, problem of moments, mean-risk stochastic programs, Minimax problems in mathematical programming, Lagrangian duality

File Description: application/xml

Monte Carlo sampling approach to stochastic programming: Monte Carlo sampling approach to stochastic programming.

Authors: Alexander Shapiro

Source: ESAIM: Proceedings. 13:65-73

Subject Terms: stochastic programming, two and multi-stage stochastic programs, consistency, validation analysis, asymptotic normality, sample average approximation, Monte Carlo sampling, 0211 other engineering and technologies, Stochastic programming, 02 engineering and technology, large deviations theory

File Description: application/xml

Access URL: https://www.esaim-proc.org/articles/proc/pdf/2003/01/Shapiro.pdf
https://www.esaim-proc.org/articles/proc/pdf/2003/01/Shapiro.pdf
http://www.esaim-proc.org/articles/proc/pdf/2003/01/Shapiro.pdf
https://www.esaim-proc.org/articles/proc/abs/2003/01/Shapiro/Shapiro.html
http://www-iam.mathematik.hu-berlin.de/~romisch/SP01/Shapiro.pdf

Inference of statistical bounds for multistage stochastic programming problems

Authors: Alexander Shapiro

Source: Mathematical Methods of Operations Research (ZOR). 58:57-68

Subject Terms: 0211 other engineering and technologies, Stochastic programming, 02 engineering and technology, Nonparametric estimation, Stochastic programming, Multistage stochastic programs with recourse, Monte Carlo sampling, Statistical bounds, Consistent estimators

File Description: application/xml

Access URL: https://zbmath.org/2051531
https://doi.org/10.1007/s001860300280
http://core.ac.uk/display/24451626
https://www2.isye.gatech.edu/people/faculty/Alex_Shapiro/mmor03.pdf
https://link.springer.com/article/10.1007%2Fs001860300280
https://dblp.uni-trier.de/db/journals/mmor/mmor58.html#Shapiro03
https://doi.org/10.1007/s001860300280
https://link.springer.com/content/pdf/10.1007/s001860300280.pdf

Comparison of Multistage Stochastic Programs with Recourse and Stochastic Dynamic Programs with Discrete Time: Comparison of multistage stochastic programs with recourse and stochastic dynamic programs with discrete time

Authors: K. Sladký Jitka Dupačová

Source: ZAMM. 82:753-765

Subject Terms: dynamic programming, Markov and semi-Markov decision processes, Stochastic programming, recourse, Dynamic programming, multistate stochastic programs, Markov decision processes

File Description: application/xml

Access URL: http://ui.adsabs.harvard.edu/abs/2002ZaMM...82..753D/abstract