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Stochastic Programming Submissions - 2013

January 2013

Generating moment matching scenarios using optimization techniques
Sanjay Mehrotra, David Papp


February 2013

Risk-Averse Stochastic Dual Dynamic Programming
Václav Kozmík, David P. Morton


April 2013

On Reduction of Quantile Optimization Problems with Discrete Distribution to Mixed Integer Programming Problems
Andrey Kibzun, Andrey Naumov, Vladimir Norkin

Distributionally robust multistage inventory models with moment constraints
Linwei Xin, David A. Goldberg, Alexander Shapiro

Interdiction Games on Markovian PERT Networks
Eli Gutin, Daniel Kuhn, Wolfram Wiesemann

REDUCTION OF TWO-STAGE PROBABILISTIC OPTIMIZATION PROBLEMS WITH DISCRETE DISTRIBUTION OF RANDOM DATA TO MIXED INTEGER PROGRAMMING PROBLEMS
Vladimir Norkin, Andrey Kibzun, Andrey Naumov


May 2013

Kusuoka Representations of Coherent Risk Measures in General Probability Spaces
Nilay Noyan, Gabor Rudolf


June 2013

Monte Carlo Sampling-Based Methods for Stochastic Optimization
Tito Homem-de-Mello, Guzin Bayraksan


July 2013

Sample Average Approximation Method for Compound Stochastic Optimization Problems
Yuri Ermoliev, Vladimir Norkin

An approximation scheme for a class of risk-averse stochastic equilibrium problems
Juan Pablo Luna, Claudia Sagastizábal, Mikhail Solodov

The Extended L-Shaped Method for Mid-Term Planning of Hydroelectricity Generation
Pierre-Luc Carpentier, Michel Gendreau, Fabian Bastin

An Effective Heuristic for Multistage Stochastic Linear Programming
C. Beltran-Royo, L. F. Escudero, J. F. Monge, R. E. Rodriguez-Ravines

A scenario decomposition algorithm for 0-1 stochastic programs
Shabbir Ahmed


August 2013

A Short Proof of Strassen's Theorem Using Convex Analysis
Benjamin Armbruster


September 2013

Ancestral Benders' Cuts and Multi-term Disjunctions for Mixed-Integer Recourse Decisions in Stochastic Programming
Yunwei Qi, Suvrajeet Sen

Ambiguous Probabilistic Programs
Zhaolin Hu, Jeff L Hong, Man-Cho Anthony So

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


October 2013

Time Consistency Versus Law Invariance in Multistage Stochastic Optimization with Coherent Risk Measures: Multilevel Optimization Modeling and Computational Complexity
Jonathan Eckstein

Optimal scenario set partitioning for multistage stochastic programming with the progressive hedging algorithm
Pierre-Luc Carpentier, Michel Gendreau, Fabian Bastin


November 2013

Computation of Stochastic Nash Equilibrium via Variable Sample Distributed Methods
Dali Zhang, Lizhi Wang, Ming Dong


December 2013

Benders, Nested Benders and Stochastic Programming: An Intuitive Introduction
James Murphy

Memory-Efficient, Full-Space Implementation of Multi-Period Two- and Multi-Stage Stochastic Programming Models
Bruno Calfa


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