Optimization Online


Stochastic Programming Submissions - 2017

January 2017

Two-stage Stochastic Programming under Multivariate Risk Constraints with an Application to Humanitarian Relief Network Design
Nilay Noyan, Merve Meraklı, Simge Küçükyavuz

Distributionally Robust Reward-risk 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

High-dimensional risk-constrained dynamic asset allocation via Markov stochastic dual dynamic programming
Davi Valladão, Thuener Silva, Marcus Poggi

Data-Driven Optimization of Reward-Risk Ratio Measures
Ran Ji, Miguel A. Lejeune

On Intersection of Two Mixing Sets with Applications to Joint Chance-Constrained Programs
Xiao Liu, Fatma Kilinc-Karzan, 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 chance-constrained 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 non-linear 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

Forecast-based scenario-tree 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 Value-at-Risk
Ahmadi-Javid Amir, Pichler Alois

Data-driven satisficing measure and ranking
Wenjie Huang

Distributionally Robust Newsvendor Problems with Variation Distance
Hamed Rahimian, Guzin Bayraksan, Tito Homem-de-Mello

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 Branch-and-Bound Algorithm for Stochastic Mixed-Integer 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 Two-Stage Stochastic and Distributionally Robust Linear Complementarity Problems
Xiaojun Chen, Hailin Sun, Huifu Xu

A Benders squared (B2) framework for infinite-horizon 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 Cory-Wright, Andy Philpott, Golbon Zakeri

New solution approaches for the maximum-reliability stochastic network interdiction problem
Eli Towle, James Luedtke

Distributionally robust simple integer recourse
Weijun Xie, Shabbir Ahmed

September 2017

Modeling Time-dependent Randomness in Stochastic Dual Dynamic Programming
Nils Löhndorf, Alexander Shapiro

October 2017

A Sigmoidal Approximation for Chance-constrained 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

Two-stage stochastic programming model for routing multiple drones with fuel constraints
Saravanan Venkatachalam, Kaarthik Sundar, Sivakumar Rathinam

Multi-objective risk-averse two-stage 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 chance-constrained 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

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