Stochastic Programming Submissions - 2004

February 2004

Optimization of Convex Risk Functions
Andrzej Ruszczynski, Alexander Shapiro

Portfolio Optimization with Stochastic Dominance Constraints
Darinka Dentcheva, Andrzej Ruszczynski

Convexification of Stochastic Ordering
Darinka Dentcheva, Andrzej Ruszczynski

Conditional Risk Mappings
Andrzej Ruszczynski, Alexander Shapiro

April 2004

Mean-risk objectives in stochastic programming
Shabbir Ahmed

June 2004

Solving Multistage Asset Investment Problems by the Sample Average Approximation Method
Jorgen Blomvall, Alexander Shapiro

August 2004

Stochastic Programming with Equilibrium Constraints
Alexander Shapiro

September 2004

A Branch-Reduce-Cut Algorithm for the Global Optimization of Probabilistically Constrained Linear Programs
Myun-Seok Cheon, Shabbir Ahmed, Faiz Al-Khayyal

Worst-case distribution analysis of stochastic programs
Alexander Shapiro

October 2004

On complexity of stochastic programming problems
Alexander Shapiro, Arkadi Nemirovski

November 2004

Scenario Approximations of Chance Constraints
Arkadi Nemirovski, Alexander Shapiro