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Stochastic Programming Submissions - 2008

January 2008

A D.C. Formulation of Value-at-Risk constrained Optimization
D. Wozabal, R. Hochreiter, G. Ch. Pflug

Formulation and solution strategies for nonparametric nonlinear stochastic programs, with an application in finance
Fabian Bastin, Cinzia Cirillo, Philippe Toint


February 2008

Computational study of a chance constrained portfolio selection problem
Bernardo Pagnoncelli, Shabbir Ahmed, Alex Shapiro

Convergence Analysis of a Weighted Barrier Decomposition Algorithm for Two Stage Stochastic Programming
Sanjay Mehrotra, Gokhan Ozevin

Disjunctive Decomposition for Two-Stage Stochastic Mixed-Binary Programs with Random Recourse
Lewis Ntaimo


March 2008

An information-based approximation scheme for stochastic optimization problems in continuous time
Daniel Kuhn

Epi-convergent Scenario Generation Method for Stochastic Problems via Sparse Grid
Michael Chen, Sanjay Mehrotra


April 2008

Large Deviations of Vector-valued Martingales in 2-Smooth Normed Spaces
Anatoli Juditsky, Arkadi Nemirovski


May 2008

Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
Dimitris Bertsimas, Xuan Vinh Doan, Karthik Natarajan, Chung-Piaw Teo

Validation Analysis of Robust Stochastic Approximation Method
Guanghui Lan, Arkadi Nemirovski, Alexander Shapiro


June 2008

IIS Cuts for Stochastic Programs with Joint Chance-Constraints
Matthew Tanner, Lewis Ntaimo


July 2008

Scalable Heuristics for Stochastic Programming with Scenario Selection
Jean-Paul Watson, Roger J.-B. Wets, David L. Woodruff

Multi-stage Stochastic Linear Programming: An Approach by Events
C. Beltran-Royo, L. F. Escudero, R. E. Rodriguez-Ravines


August 2008

The Facility Location Problem with Bernoulli Demands
Maria Albareda-Sambola, Elena Fernandez, Francisco Saldanha-da-Gama


September 2008

Progressive Hedging Innovations for a Class of Stochastic Resource Allocation Problems
Jean-Paul Watson, David Woodruff, David Strip

Chance-constrained optimization via randomization: feasibility and optimality
M.C. Campi, S. Garatti


November 2008

A Cutting Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints
Tito Homem-de-Mello, Sanjay Mehrotra

Optimal Scenario Tree Reduction for Stochastic Streamflows in Power Generation Planning Problems
W.L. Oliveira, C. Sagastizábal, D.D.J. Penna, M.E.P. Mceira, J.M. Damazio


December 2008

Convergence of stochastic average approximation for stochastic optimization problems with mixed expectation and per-scenario constraints
MIhai Anitescu, Birge John

On a time consistency concept in risk averse multi-stage stochastic programming
Alexander Shapiro


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