Optimization Online


Stochastic Programming Submissions - 2018

January 2018

Distributional Robustness and Regularization in Statistical Learning
Rui Gao, Xi Chen, Anton Kleywegt

Solving joint chance constrained problems using regularization and Benders' decomposition
Lukas Adam, Martin Branda, Holger Heitsch, Rene Henrion

Bicriteria Approximation of Chance Constrained Covering Problems
Weijun Xie, Shabbir Ahmed

Large neighbourhood Benders' search
Stephen Maher

Convergence Analysis of Sample Average Approximation of Two-state Stochastic Generalized Equations
Xiaojun Chen, Alexander Shapiro, Hailin Sun

Inexact cuts in Deterministic and Stochastic Dual Dynamic Programming applied to linear optimization problems
Vincent Guigues

February 2018

A deterministic algorithm for solving multistage stochastic minimax dynamic programmes
Regan Baucke, Anthony Downward, Golbon Zakeri

On the convergence of a cutting plane method for multistage stochastic programming problems with stagewise dependent price uncertainty
Anthony Downward, Oscar Dowson, Regan Baucke

Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Alexander Shapiro

Bounds in multi-horizon stochastic programs
Francesca Maggioni, Elisabetta Allevi, Asgeir Tomasgard

March 2018

On efficiency, savings, wealth transfers and risk-aversion in electricity markets with uncertain supply
Ryan Cory-Wright, Golbon Zakeri

Two-Stage Stochastic Mixed-Integer Linear Programming: From Scenarios to Conditional Scenarios
C. Beltran-Royo

A finite ε-convergence algorithm for two-stage convex 0-1 mixed-integer nonlinear stochastic programs with mixed-integer first and second stage variables
Can Li, Ignacio Grossmann

Scenario Reduction for Risk-Averse Stochastic Programs
Sebastian Arpon, Tito Homem-de-Mello, Bernardo Pagnoncelli

Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
Vincent Guigues

Two-stage Linear Decision Rules for Multi-stage Stochastic Programming
Merve Bodur, James Luedtke

Hadamard Directional Diff erentiability of the Optimal Value of a Linear Second-order Conic Programming Problem
Duan Qingsong , Zhang Liwei, Zhang Sainan

April 2018

An algorithm for solving infinite horizon Markov dynamic programmes
Regan Baucke

Exact converging bounds for Stochastic Dual Dynamic Programming via Fenchel duality
V Leclère, P Carpentier, J-Ph Chancelier, A Lenoir, F Pacaud

Dynamic Risked Equilibrium
Michael Ferris, Andy Philpott

May 2018

Quantitative Stability of Two-stage Stochastic Linear Programs with Full Random Recourse
Jie Jiang, Zhiping Chen

K-Adaptability in Stochastic Programming
Christoph Buchheim, Jonas Pruente

Coalescing Data and Decision Sciences for Analytics
Yunxiao Deng, Junyi Liu, Suvrajeet Sen

Two-stage stochastic (and distributionally robust) p-order conic mixed integer programs: Tight second stage formulations
Manish Bansal, Yingqiu Zhang

Inexact Stochastic Mirror Descent for two-stage nonlinear stochastic programs
Vincent Guigues

June 2018

On Distributionally Robust Chance Constrained Program with Wasserstein Distance
Weijun Xie

Envelope Theorems for Multi-Stage Linear Stochastic Optimization
David Wozabal, Goncalo Terca

July 2018

SPIDER: Near-Optimal Non-Convex Optimization via Stochastic Path Integrated Differential Estimator
Cong Fang, Chris Junchi Li, Zhouchen Lin, Tong Zhang

August 2018

The Value of Multi-stage Stochastic Programming in Risk-averse Unit Commitment under Uncertainty
Ali Irfan Mahmutogullari, Shabbir Ahmed, Ozlem Cavus, M. Selim Akturk

On Solving Two-Stage Distributionally Robust Disjunctive Programs with a General Ambiguity Set
Manish Bansal, Sanjay Mehrotra

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society