Optimization Online


Stochastic Programming Submissions - 2016

January 2016

On the Number of Stages in Multistage Stochastic Programs
Giovanni Pantuso

Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
Vincent Guigues

Joint dynamic probabilistic constraints with projected linear decision rules
Vincent Guigues, Rene Henrion

Two-Stage Stochastic Linear Programming: The Conditional Scenario Approach
C. Beltran-Royo

The stochastic vehicle routing problem, a literature review
Jorge Oyola, Halvard Arntzen, David L Woodruff

Non-asymptotic confidence bounds for the optimal value of a stochastic program
Vincent Guigues, Anatoli Juditsky, Arkadi Nemirovski

Satisficing Awakens: Models to Mitigate Uncertainty
Patrick Jaillet, Sanjay Dominik Jena, Tsan Sheng Ng, Melvyn Sim

Scenario Set Partition Dual Bounds for Multistage Stochastic Programming: A Hierarchy of Bounds and a Partition Sampling Approach
Natashia Boland, Ilke Bakir, Brian Dandurand, Alan Erera

Parallel Scenario Decomposition of Risk Averse 0-1 Stochastic Programs
Yan Deng, Shabbir Ahmed, Siqian Shen

February 2016

A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization
Hübner Jens, Schmidt Martin, Steinbach Marc C.

An empirical analysis of scenario generation methods for stochastic optimization
Nils Löhndorf

March 2016

Phi-Divergence Constrained Ambiguous Stochastic Programs for Data-Driven Optimization
David Love, Guzin Bayraksan

Identifying Effective Scenarios in Distributionally Robust Stochastic Programs with Variation Distance
Hamed Rahimian, Guzin Bayraksan, Tito Homem-de-Mello

Optimization Driven Scenario Grouping
Kevin Ryan, Shabbir Ahmed, Santanu S. Dey, Deepak Rajan

On quantile cuts and their closure for chance constrained optimization problems
Weijun Xie, Shabbir Ahmed

An Adaptive Partition-based Level Decomposition for Solving Two-stage Stochastic Programs with Fixed Recourse
Wim van Ackooij, Welington de Oliveira, Yongjia Song

Statistical inference and hypotheses testing of risk averse stochastic programs
Vincent Guigues, Volker Krätschmer, Alexander Shapiro

Combining Progressive Hedging with a Frank-Wolfe Method to Compute Lagrangian Dual Bounds in Stochastic Mixed-Integer Programming
Natashia Boland, Jeffrey Christiansen, Brian Dandurand, Andrew Eberhard, Jeffrey Linderoth, James Luedtke, Fabricio Oliveira

April 2016

Distributionally Robust Stochastic Optimization with Wasserstein Distance
Rui Gao, Anton J. Kleywegt

Stochastic geometric optimization with joint probabilistic constraints
Jia Liu, Abdel Lisser, Zhiping Chen

May 2016

Scenario Tree Reduction Methods Through Changing Node Values
Zhiping Chen, Zhe Yan

MIDAS: A Mixed Integer Dynamic Approximation Scheme
Andy Philpott, Faisal Wahid, Frederic Bonnans

Nested Decomposition of Multistage Stochastic Integer Programs with Binary State Variables
Jikai Zou, Shabbir Ahmed, Xu Andy Sun

Exact Algorithms for the Chance-Constrained Vehicle Routing Problem
Thai Dinh, Ricardo Fukasawa, James Luedtke

Distributionally Robust Optimization with Principal Component Analysis
Jianqiang Cheng, Richard Chen, Habib Najm, Ali Pinar, Cosmin Safta, Jean-Paul Watson

June 2016

SCORE Allocations for Bi-objective Ranking and Selection
Guy Feldman, Susan R. Hunter

Path Constraints in Tychastic and Unscented Optimal Control: Theory, Applications and Experimental Results
I. M. Ross, M. Karpenko, R. J. Proulx

Decomposability and time consistency of risk averse multistage programs
Kerem Ugurlu, Alexander Shapiro

Bounding Infinite Multistage Risk-Averse Stochastic Optimization Programs
Francesca Maggioni, Georg Pflug

July 2016

Bounds on Risk-averse Mixed-integer Multi-stage Stochastic Programming Problems with Mean-CVaR
Ali Irfan Mahmutogullari, Ozlem Cavus, M. Selim Akturk

August 2016

Asymptotical Analysis of a SAA Estimator for Optimal Value of a Two Stage Problem with Quadratic Recourse
Sainan Zhang, Liwei Zhang, Hongwei Zhang, Qingsong Duan

The Stochastic Multistage Fixed Charge Transportation Problem: Worst-Case Analysis of the Rolling Horizon Approach
Luca Bertazzi, Francesca Maggioni

Optimizing over Joint-Chance Constraints for a Hybrid Wind-conventional Generator System
Bismark Singh, David Morton, Surya Santoso

September 2016

Quadratic Two-Stage Stochastic Optimization with Coherent Measures of Risk

Ambiguous Risk Constraints with Moment and Unimodality Information
Bowen Li, Ruiwei Jiang, Johanna L. Mathieu

Optimization with stochastic preferences based on a general class of scalarization functions
Nilay Noyan, Gabor Rudolf

On deterministic reformulations of distributionally robust joint chance constrained optimization problems
Weijun Xie, Shabbir Ahmed

Time and Dynamic Consistency of Risk Averse Stochastic Programs
Alexander Shapiro, Alois Pichler

Distributionally Robust Chance-Constrained Bin Packing
Yiling Zhang, Ruiwei Jiang, Siqian Shen

October 2016

Decision Rule Bounds for Stochastic Bilevel Programs
İhsan Yanıkoğlu, Daniel Kuhn

Combining Penalty-based and Gauss-Seidel Methods for solving Stochastic Mixed-Integer Problems
Fabricio Oliveira, Christiansen Jeffrey, Dandurand Brian, Eberhard Andrew

Joint rectangular geometric chance constrained programs
Jia Liu , Chuan Xu , Abdel Lisser, Zhiping Chen

November 2016

Statistical inference and hypotheses testing of risk averse stochastic programs
Vincent Guigues, Alexander Shapiro, Volker Kratschmer

December 2016

Second-order cone programming formulation for two player zero-sum game with chance constraints
Vikas Vikram Singh, Abdel Lisser

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