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Stochastic Programming Submissions - 2012

January 2012

Time consistency of dynamic risk measures
Alexander Shapiro

Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Alexander Shapiro, Wajdi Tekaya, Joari Paulo da Costa, Murilo Pereira Soares

Solving multi-stage stochastic mixed integer linear programs by the dual dynamic programming approach
zhihao cen


February 2012

Exact Penalization, Level Function Method and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
Hailin Sun, Huifu Xu, Rudabeh Meskarian, Yong Wang

Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via CVaR/DC Approximations
Hailin Sun, Huifu Xu, Yong Wang

Decomposition Algorithms with Gomory Cuts for Two-Stage Stochastic Integer Programs
Dinakar Gade, Simge Kucukyavuz, Suvrajeet Sen


April 2012

The optimal harvesting problem under risk aversion
Bernardo Pagnoncelli, Adriana Piazza

Complexity of Bilevel Coherent Risk Programming
Jonathan Eckstein

Consistency of sample estimates of risk averse stochastic programs
Alexander Shapiro

Optimization with multivariate conditional value-at-risk
Nilay Noyan, Gabor Rudolf

On the convergence of decomposition methods for multi-stage stochastic convex programs
P. Girardeau, A. B. Philpott

A Penalty Decomposition Method for Probabilistically Constrained Convex Programs
Xiaodi Bai, Jie Sun, Xiaojin Zheng, Xiaoling Sun


May 2012

Scenario Trees – A Process Distance Approac
Raimund Kovacevic, Alois Pichler


June 2012

Mixed-Integer Programming Models and Polynomial-time Algorithms for Solving Probabilistic Multicommodity Flow Capacity Expansion Problems
Siqian Shen

Risk Optimization in Probabilistic Programs with Single or Multiple Chance Constraints
Siqian Shen

Quantitative Stability Analysis of Stochastic Generalized Equations
Yongchao Liu, Werner Romisch, Huifu Xu


July 2012

Data-driven Chance Constrained Stochastic Program
Ruiwei Jiang, Yongpei Guan

Improving the Performance of Stochastic Dual Dynamic Programming
Vitor de Matos, Andrew Philpott, Erlon Finardi

A note on the convergence of the SDDP algorithm
Kengy Barty

Stochastic optimization and sparse statistical recovery: An optimal algorithm for high dimensions
Alekh Agarwal, Sahand Negahban, Martin Wainwright


August 2012

Dual-level scenario trees - Scenario generation and applications in energy planning
Michal Kaut, Kjetil T. Midthun, Adrian S. Werner, Asgeir Tomasgard, Lars Hellemo, Marte Fodstad

Bounds for nested law invariant coherent risk measures
Linwei Xin, Alexander Shapiro

Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach
Panos Parpas, Ustun Berk, Webster Mort

On solving multistage stochastic programs with coherent risk measures
A. B. Philpott, V. L. de Matos, E. C. Finardi

Computational aspects of risk-averse optimisation in two-stage stochastic models
Csaba Fabian

SDDP for multistage stochastic linear programs based on spectral risk measures
Vincent Guigues, Werner Romisch


September 2012

Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method
Christian Wolf, Achim Koberstein

Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix
Alexander Kogan, Miguel Lejeune

Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
Holger Heitsch, Hernan Leovey, Werner Romisch


October 2012

On parallelizing dual decomposition in stochastic integer programming
Miles Lubin, Kipp Martin, Cosmin Petra, Burhannedin Sandıkçı

Chance-constrained binary packing problems
Yongjia Song, James Luedtke, Simge Kucukyavuz

Worst-case-expectation approach to optimization under uncertainty
Alexander Shapiro, Wajdi Tekaya, Murilo Pereira Soares, Joari Paulo da Costa


November 2012

Clustering-Based Interior-Point Strategies for Stochastic Programs
Victor M Zavala

Kullback-Leibler Divergence Constrained Distributionally Robust Optimization
Zhaolin Hu, Jeff Hong

Two methods of pruning Benders' cuts and their application to the management of a gas portfolio
Laurent Pfeiffer, Romain Apparigliato, Sophie Auchapt


December 2012

Common Mathematical Foundations of Expected Utility and Dual Utility Theories
Darinka Dentcheva, Andrzej Ruszczynski


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