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Stochastic Programming Submissions - 2014

January 2014

A Two-Stage Stochastic Integer Programming Approach to Integrated Staffing and Scheduling with Application to Nurse Management
Kibaek Kim, Sanjay Mehrotra

Mitigating Uncertainty via Compromise Decisions in Two-stage Stochastic Linear Programming
Suvrajeet Sen, Yifan Liu

A Stochastic Quasi-Newton Method for Large-Scale Optimization
Richard Byrd, Samantha Hansen, Jorge Nocedal, Yoram Singer


February 2014

Applying oracles of on-demand accuracy in two-stage stochastic programming - a computational study
Christian Wolf, Csaba Fábián, Achim Koberstein, Leena Suhl

Chance-constrained problems and rare events: an importance sampling approach
Javiera Barrera, Tito Homem-de-Mello, Eduardo Moreno, Bernardo K. Pagnoncelli, Gianpiero Canessa


March 2014

Strengthened Benders Cuts for Stochastic Integer Programs with Continuous Recourse
Merve Bodur, Sanjeeb Dash, Oktay Gunluk, James Luedtke

Chance Constrained Mixed Integer Program: Bilinear and Linear Formulations, and Benders Decomposition
Bo Zeng, Yu An, Ludwig Kuznia


April 2014

Validating Sample Average Approximation Solutions with Negatively Dependent Batches
Jiajie Chen, Cong Han Lim, Peter Qian, Jeff Linderoth, Stephen Wright

Improving the integer L-shaped method
Gustavo Angulo, Shabbir Ahmed, Santanu S. Dey


May 2014

Toward Scalable Stochastic Unit Commitment - Part 1: Load Scenario Generation
Yonghan Feng, Ignacio Rios, Sarah Ryan, Kai Spurkel, Jean-Paul Watson, Roger J-B Wets, David Woodruff

Toward Scalable Stochastic Unit Commitment - Part 2: Solver Configuration and Performance Assessment
Kwok Cheung, Dinakar Gade, Cesar Silva-Monroy, Sarah Ryan, Jean-Paul Watson, Roger J-B Wets, David Woodruff


July 2014

Robustified Reserve Modelling for Wind Power Integration in Ramp-Based Unit Commitment
German Morales-España, Ross Baldick, Javier García-González, Andres Ramos

A scalable bounding method for multi-stage stochastic integer programs
Burhaneddin Sandikci, Osman Y. Ozaltin

Nonanticipative duality and mixed-integer programming formulations for chance-constrained stochastic programs
Shabbir Ahmed, James Luedtke, Yongjia Song, Weijun Xie

Hypotheses testing on the optimal values of several risk-neutral or risk-averse convex stochastic programs and application to hypotheses testing on several risk measure values
Vincent Guigues

Cut Generation for Optimization Problems with Multivariate Risk Constraints
Simge Küçükyavuz, Nilay Noyan


August 2014

A Generalization of Benders' Algorithm for Two-Stage Stochastic Optimization Problems With Mixed Integer Recourse
Anahita Hassanzadeh, Ted Ralphs

Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
Vincent Guigues

Multilevel Optimization Modeling for Risk-Averse Stochastic Programming
Jonathan Eckstein, Deniz Eskandani, Jingnan Fan

An SDP approach for multiperiod mixed 0–1 linear programming models with stochastic dominance constraints for risk management
L.F. Escudero , J.F. Monge, D. Romero Morales


September 2014

Dynamic Generation of Scenario Trees
G. Ch. Pflug, A. Pichler

Scenario-Tree Decomposition: Bounds for Multistage Stochastic Mixed-Integer Programs
Gabriel L. Zenarosa, Oleg A. Prokopyev, Andrew J. Schaefer


October 2014

Sequential Bounding Methods for Two-Stage Stochastic Programs
Alexander Gose, Brian Denton

Rectangular sets of probability measures
Alexander Shapiro


November 2014

A NEW PARTIAL SAMPLE AVERAGE APPROXIMATION METHOD FOR CHANCE CONSTRAINED PROBLEM
Jianqiang Cheng, Céline Gicquel, Abdel Lisser

Totally Unimodular Multistage Stochastic Programs
Ruichen (Richard) Sun, Oleg V. Shylo, Andrew J. Schaefer

Process-Based Risk Measures for Observable and Partially Observable Discrete-Time Controlled Systems
Jingnan Fan , Andrzej Ruszczynski

A note on complexity of multistage stochastic programs
Marcus de Mendes C. R. Reaiche

Sample approximations of multiobjective stochastic optimization problems
Bogdan Norkin


December 2014

An Adaptive Partition-based Approach for Solving Two-stage Stochastic Programs with Fixed Recourse
Yongjia Song, James Luedtke

Clustering-Based Preconditioning for Stochastic Programs
Yankai Cao, Carl D. Laird, Victor M Zavala


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