Stochastic Programming Submissions - 2010

January 2010

Fenchel Decomposition for Stochastic Mixed-Integer Programming
Lewis Ntaimo

February 2010

A comparison of sample-based Stochastic Optimal Control methods
Pierre Girardeau

March 2010

Stability Analysis of Two Stage Stochastic Mathematical Programs with Complementarity Constraints via NLP-Regularization
Yongchao Liu, Huifu Xu, Gui-Hua Lin

Kusuoka Representation of Higher Order Dual Risk Measures
Darinka Dentcheva, Spiridon Penev, Andrzej Ruszczynski

April 2010

A decomposition-based warm-start method for stochastic programming
Marco Colombo, Andreas Grothey

Convex approximations in stochastic programming by semidefinite programming
István Deák, Imre Pólik, András Prékopa, Tamás Terlaky

Mathematical Programming Approaches for Generating p-Efficient Points
Miguel Lejeune, Nilay Noyan

May 2010

A preconditioning technique for Schur complement systems arising in stochastic optimization
Cosmin Petra, Mihai Anitescu

Models and Formulations for Multivariate Dominance Constrained Stochastic Programs
Benjamin Armbruster, James Luedtke

On mixed integer reformulations of monotonic probabilistic programming problems with discrete distributions
Vladimir Norkin

July 2010

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

August 2010

Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
Miguel Lejeune

Scenario decomposition of risk-averse multistage stochastic programming problems
Ricardo A. Collado, David Papp, Andrzej Ruszczyński

September 2010

PySP: Modeling and Solving Stochastic Programs in Python
Jean-Paul Watson, David Woodruff, William Hart

Inexact Bundle Methods for Two-Stage Stochastic Programming
Welington Oliveira, Claudia Sagastizábal, Susana Scheimberg

Convex duality in stochastic programming and mathematical finance
Teemu Pennanen

October 2010

Sampling-based decomposition methods for risk-averse multistage stochastic programs
Vincent Guigues, Werner Römisch

On the parallel solution of dense saddle-point linear systems arising in stochastic programming
Miles Lubin, Cosmin Petra, Mihai Anitescu

November 2010

An Effective Cost Lower Bound for Multistage Stochastic Linear Programming
C. Beltran-Royo, L. F. Escudero, R. E. Rodriguez-Ravines

December 2010

On the economic interpretation of time consistent dynamic stochastic programming problems
Birgit Rudloff, Alexandre Street, Davi Valladão

Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
Andy Philpott, Vitor de Matos