Stochastic Programming Submissions  2017
January 2017
Twostage Stochastic Programming under Multivariate Risk Constraints with an Application to Humanitarian Relief Network Design
Nilay Noyan, Merve Meraklı, Simge Küçükyavuz
Distributionally Robust Rewardrisk Ratio Programming with Wasserstein Metric
Yong Zhao, Yongchao Liu, Jin Zhang, Xinmin Yang
On regularization with normal solutions in decomposition methods for multistage stochastic programming
Wim van Ackooij, Welington de Oliveira, Yongjia Song
Quantitative Stability Analysis for Minimax Distributionally Robust RiskOptimization
Alois Pichler, Huifu Xu
Regularized Decomposition Methods for Deterministic and Stochastic Convex Optimization and Application to Portfolio Selection with Direct Transaction and Market Impact Costs
Vincent Guigues, Miguel A. Lejeune, Wajdi Tekaya
Scenario Reduction Revisited: Fundamental Limits and Guarantees
Napat Rujeerapaiboon, Kilian Schindler, Daniel Kuhn, Wolfram Wiesemann
Distributionally Robust Stochastic Optimization with Dependence Structure
Rui Gao, Anton Kleywegt
Highdimensional riskconstrained dynamic asset allocation via Markov stochastic dual dynamic programming
Davi Valladão, Thuener Silva, Marcus Poggi
DataDriven Optimization of RewardRisk Ratio Measures
Ran Ji, Miguel A. Lejeune
On Intersection of Two Mixing Sets with Applications to Joint ChanceConstrained Programs
Xiao Liu, Fatma KilincKarzan, Simge Kucukyavuz
On almost sure rates of convergence for sample average approximations
Dirk Banholzer, Jörg Fliege, Ralf Werner
February 2017
Scenario grouping and decomposition algorithms for chanceconstrained programs
Yan Deng, Shabbir Ahmed, Jon Lee, Siqian Shen
Optimized Bonferroni Approximations of Distributionally Robust Joint Chance Constraints
Weijun Xie, Shabbir Ahmed, Ruiwei Jiang
Exploiting Negative Curvature in Deterministic and Stochastic Optimization
Frank Curtis, Daniel Robinson
March 2017
A successive linear programming algorithm with nonlinear time series for the reservoir management problem
Charles Gauvin, Erick Delage, Michel Gendreau
A Stability Result for Linear Markov Decision Processes
David Wozabal, Adriana Kiszka
Forecastbased scenariotree generation method
Michal Kaut
Learning Enabled Optimization: Towards a Fusion of Statistical Learning and Stochastic Optimization
Suvrajeet Sen, Yunxiao Deng
Optimal scenario generation and reduction in stochastic programming
Rene Henrion, Werner Roemisch
A randomized method for smooth convex minimization, motivated by probability maximization
Csaba I Fabian, Tamas Szantai
An Analytical Study of Norms and Banach Spaces Induced by the Entropic ValueatRisk
AhmadiJavid Amir, Pichler Alois
Datadriven satisficing measure and ranking
Wenjie Huang
Distributionally Robust Newsvendor Problems with Variation Distance
Hamed Rahimian, Guzin Bayraksan, Tito HomemdeMello
April 2017
Uniform Convergence of Sample Average Approximation with Adaptive Multiple Importance Sampling
Andreas Waechter, Jeremy Staum, Alvaro Maggiar, Mingbin Feng
From Data to Decisions: Distributionally Robust Optimization is Optimal
Bart P.G. Van Parys, Peyman Mohajerin Esfahani, Daniel Kuhn
Interchangeability principle and dynamic equations in risk averse stochastic programming
Alexander Shapiro
May 2017
A Progressive Hedging Based BranchandBound Algorithm for Stochastic MixedInteger Programs
Semih Atakan, Suvrajeet Sen
Multicut decomposition methods with cut selection for multistage stochastic programs
Vincent Guigues, Michelle Bandarra
The Adaptive Sampling Gradient Method: Optimizing Smooth Functions with an Inexact Oracle
Fatemeh Hashemi, Pasupathy Raghu, Michael Taaffe
June 2017
Discrete Approximation of TwoStage Stochastic and Distributionally Robust Linear Complementarity Problems
Xiaojun Chen, Hailin Sun, Huifu Xu
A Benders squared (B2) framework for infinitehorizon stochastic linear programs
Giacomo Nannicini, Emiliano Traversi, Roberto Wolfler Calvo
July 2017
Inexact decomposition methods for solving deterministic and stochastic convex dynamic programming equations
Vincent Guigues
A deterministic algorithm for solving multistage stochastic programming problems
Regan Baucke, Anthony Downward, Golbon Zakeri
August 2017
Payment Mechanisms for Electricity Markets with Uncertain Supply
Ryan CoryWright, Andy Philpott, Golbon Zakeri
New solution approaches for the maximumreliability stochastic network interdiction problem
Eli Towle, James Luedtke
Distributionally robust simple integer recourse
Weijun Xie, Shabbir Ahmed
September 2017
Modeling Timedependent Randomness in Stochastic Dual Dynamic Programming
Nils Löhndorf, Alexander Shapiro
October 2017
A Sigmoidal Approximation for Chanceconstrained Nonlinear Programs
Yankai Cao, Victor Zavala
From Estimation to Optimization via Shrinkage
Danial Davarnia, Gerard Cornuejols
Resource Allocation for Contingency Planning: An Inexact Bundle Method for Stochastic Optimization
Ricardo A. Collado, Somayeh Moazeni
November 2017
Bayesian Solution Estimators in Stochastic Optimization
Danial Davarnia, Burak Kocuk, Gerard Cornuejols
DASC: a Decomposition Algorithm for multistage stochastic programs with Strongly Convex cost functions
Vincent Guigues
Twostage stochastic programming model for routing multiple drones with fuel constraints
Saravanan Venkatachalam, Kaarthik Sundar, Sivakumar Rathinam
Multiobjective riskaverse twostage stochastic programming problems
Cagin Ararat, Ozlem Cavus, Ali Irfan Mahmutogullari
Optimization of Stochastic Problems with Probability Functions via Differential Evolution
Bayrammyrat Myradov
Variational inequality formulation for the games with random payoffs
Vikas Vikram Singh, Abdel Lisser
An algorithm for binary chanceconstrained problems using IIS
Gianpiero Canessa, Julián Gallego, Lewis Ntaimo, Bernardo Pagnoncelli
December 2017
SDDP.jl: a Julia package for Stochastic Dual Dynamic Programming
Oscar Dowson, Lea Kapelevich
