Optimization Online


Stochastic Programming Submissions - 2015

January 2015

A Counterexample to “Threshold Boolean form for joint probabilistic constraints with random technology matrix”
James Luedtke

Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning
Jikai Zou, Shabbir Ahmed, Andy Sun

Obtaining Lower Bounds from the Progressive Hedging Algorithm for Stochastic Mixed-Integer Programs
Dinakar Gade, Gabriel Hackebeil, Sarah M. Ryan, Jean-Paul Watson, Roger J-B Wets, David L. Woodruff

February 2015

Monotonic bounds in multistage mixed-integer linear stochastic programming
Francesca Maggioni, Elisabetta Allevi, Marida Bertocchi

Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
Tito Homem-de-Mello, Bernardo Pagnoncelli

March 2015

Extension and Implementation of Homogeneous Self-dual Methods for Symmetric Cones under Uncertainty
Baha Alzalg, Francesca Maggioni, Sebastiano Vitali

A Comment on Computational Complexity of Stochastic Programming Problems
Grani A. Hanasusanto, Daniel Kuhn, Wolfram Wiesemann

April 2015

Decomposition algorithm for large-scale two-stage unit-commitment
Wim van Ackooij, Jrme Malick

May 2015

Data-Driven Risk-Averse Stochastic Optimization with Wasserstein Metric
Chaoyue Zhao, Yongpei Guan

Two approaches to constrained stochastic optimal control problems
Laurent Pfeiffer

Time Consistent Recursive Risk Measures Under Regime Switching and Factor Models and Their Application in Dynamic Portfolio Selection
Zhiping Chen, Jia Liu

Time Consistent Risk Measure Under Probabilistic Stopping Time Framework and its Applications
Zhiping Chen, Jia Liu

Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
Ruiwei Jiang, Yongpei Guan

Optimal gas storage valuation and futures trading under a high-dimensional price process
Nils Lhndorf, David Wozabal

Quadratically Perturbed Chance Constrained Programming with Fitted Distribution: t-Distribution vs. Gaussian
Xin He

June 2015

Quantitative Stability Analysis of Stochastic Quasi-Variational Inequality Problems and Applications
Jie Zhang, Huifu Xu, Li-wei Zhang

Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs
Kibaek Kim, Victor M. Zavala

Existence of Nash equilibrium for Chance-Constrained Games
Vikas Vikram Singh, Oualid Jouini, Abdel Lisser

July 2015

A Stabilised Scenario Decomposition Algorithm Applied to Stochastic Unit Commitment Problems
Tim Schulze, Andreas Grothey, Ken McKinnon

Nonlinear chance constrained problems: optimality conditions, regularization and solvers
Lukas Adam, Martin Branda

Francesca Maggioni, Georg Pflug

Data-Driven Risk-Averse Two-Stage Stochastic Program with ζ-Structure Probability Metrics
Chaoyue Zhao, Yongpei Guan

Uniform Convergence of Sample Average Approximation with Adaptive Importance Sampling
Jeremy Staum, Andreas Waechter, Alvaro Maggiar, Mingbin Feng

Stochastic Approximations and Perturbations in Forward-Backward Splitting for Monotone Operators
Patrick L. Combettes, Jean-Christophe Pesquet

August 2015

Tight second-stage formulations in two-stage stochastic mixed integer programs
Manish Bansal, Kuo-Ling Huang, Sanjay Mehrotra

SDDP for multistage stochastic programs: Preprocessing via scenario reduction
Jitka Dupacova, Vaclav Kozmik

Distributionally Robust Appointment Scheduling with Random No-shows and Service Durations
Ruiwei Jiang, Siqian Shen, Yiling Zhang

September 2015

Parallel Non-Stationary Direct Policy Search for Risk Averse Stochastic Optimization
Somayeh Moazeni, Warren Powell, Boris Defourny, Belgacem Bouzaiene-Ayari

Tight second-stage formulations in two-stage stochastic mixed integer programs
Manish Bansal, Kuo-Ling Huang, Sanjay Mehrotra

Existence of Nash equilibrium for distributionally robust chance-constrained games
Vikas Vikram Singh, Oualid Jouini, Abdel Lisser

October 2015

Stochastically Constrained Optimization On Integer-Ordered Spaces: The cgR-SPLINE Algorithm
Kalyani Nagaraj, Raghu Pasupathy

Robust Multicriteria RiskAverse Stochastic Programming Models
Xiao Liu, Simge Kkyavuz, Nilay Noyan

On Solving General Two-Stage Stochastic Programs
Manish Bansal, Sanjay Mehrotra

Revisiting some results on the complexity of multistage stochastic programs and some extensions
M.M.C.R. Reaiche

November 2015

A two-level SDDP Solving Strategy with Risk-Averse multivariate reservoir Storage Levels for Long Term power Generation Planning
Andre L. Diniz, Maria E. Maceira, C. L. Vasconcellos, D.D. Penna

Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation
Kevin Ryan, Deepak Rajan, Shabbir Ahmed

Branch and Price for Chance Constrained Bin Packing
Z. Zhang, B.T. Denton, Xiaolan X.

December 2015

Sampling-Based Progressive Hedging Algorithms in Two Stage Stochastic Programming
Nezir Aydin, Alper Murat, Boris S. Mordukhovich

Distributionally Robust Stochastic Programming
Alexander Shapiro

PIPS-SBB: A parallel distributed-memory branch-and-bound algorithm for stochastic mixed-integer programs
Lluis-Miquel Munguia, Geoffrey Oxberry, Deepak Rajan

Chance-constrained games: A mathematical programming approach
Vikas Vikram Singh, Oualid Jouini, Abdel Lisser

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