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Stochastic Programming Submissions - 2011

January 2011

Minimax and risk averse multistage stochastic programming
Alexander Shapiro

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


February 2011

Stochastic Variational Inequalities:Residual Minimization Smoothing/Sample Average approximations
Xiaojun Chen, Roger Wets, Yanfang Zhang

Mean and covariance matrix adaptive estimation for a weakly stationary process
Vincent Guigues


March 2011

SDDP for some interstage dependent risk averse problems and application to hydro-thermal planning
Vincent Guigues


April 2011

A Matrix-Free Approach For Solving The Gaussian Process Maximum Likelihood Problem
Mihai Anitescu, Jie Chen, Lei Wang

Scalable Stochastic Optimization of Complex Energy Systems
Miles Lubin, Cosmin Petra, Mihai Anitescu, Victor Zavala


May 2011

Stochastic programs without duality gaps
Teemu Pennanen, Ari-Pekka Perkki\

A Branch-and-Cut Decomposition Algorithm for Solving General Chance-Constrained Mathematical Programs
James Luedtke

Distributionally robust workforce scheduling in call centers with uncertain arrival rates
Shuangqing Liao, Christian van Delft, Jean-Philippe Vial


June 2011

Distribution of the Optimal Value of a Stochastic Mixed Zero-One Linear Optimization Problem under Objective Uncertainty
Karthik Natarajan, Chung-Piaw Teo, Zhichao Zheng

Convex relaxations of chance constrained optimization problems
Shabbir Ahmed


July 2011

The optimal harvesting problem with price uncertainty
Bernardo Pagnoncelli, Adriana Piazza

Probabilistic Set Covering with Correlations
Shabbir Ahmed, Dimitri Papageorgiou


August 2011

Decision Making under Uncertainty when Preference Information is Incomplete
Benjamin Armbruster, Erick Delage

Sell or Hold: a simple two-stage stochastic combinatorial optimization problem
Qie He, Shabbir Ahmed, George L. Nemhauser


September 2011

On Kusuoka representation of law invariant risk measures
Alexander Shapiro

A copula-based heuristic for scenario generation
Michal Kaut

Exploiting structure of autoregressive processes in risk-averse multistage stochastic linear programs
Vincent Guigues, Claudia Sagastizábal

Branch-and-cut Approaches for Chance-constrained Formulations of Reliable Network Design Problems
Yongjia Song, James Luedtke


October 2011

Higher-Order Confidence Intervals for Stochastic Programming using Bootstrapping
Mihai Anitescu, Petra Cosmin


November 2011

On the Geometry of Acceptability Functionals
Alois Pichler

Multistage Optimization
Alois Pichler, Georg Ch Pflug


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