Stochastic Programming Submissions  2008
January 2008
A D.C. Formulation of ValueatRisk 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 TwoStage Stochastic MixedBinary Programs with Random Recourse
Lewis Ntaimo
March 2008
An informationbased approximation scheme for stochastic optimization problems in continuous time
Daniel Kuhn
Epiconvergent Scenario Generation Method for Stochastic Problems via Sparse Grid
Michael Chen, Sanjay Mehrotra
April 2008
Large Deviations of Vectorvalued Martingales in 2Smooth 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, ChungPiaw Teo
Validation Analysis of Robust Stochastic Approximation Method
Guanghui Lan, Arkadi Nemirovski, Alexander Shapiro
June 2008
IIS Cuts for Stochastic Programs with Joint ChanceConstraints
Matthew Tanner, Lewis Ntaimo
July 2008
Scalable Heuristics for Stochastic Programming with Scenario Selection
JeanPaul Watson, Roger J.B. Wets, David L. Woodruff
Multistage Stochastic Linear Programming: An Approach by Events
C. BeltranRoyo, L. F. Escudero, R. E. RodriguezRavines
August 2008
The Facility Location Problem with Bernoulli Demands
Maria AlbaredaSambola, Elena Fernandez, Francisco SaldanhadaGama
September 2008
Progressive Hedging Innovations for a Class of Stochastic Resource Allocation Problems
JeanPaul Watson, David Woodruff, David Strip
Chanceconstrained 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 HomemdeMello, 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 perscenario constraints
MIhai Anitescu, Birge John
On a time consistency concept in risk averse multistage stochastic programming
Alexander Shapiro
