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 Twostate 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 multihorizon stochastic programs
Francesca Maggioni, Elisabetta Allevi, Asgeir Tomasgard
March 2018
On efficiency, savings, wealth transfers and riskaversion in electricity markets with uncertain supply
Ryan CoryWright, Golbon Zakeri
TwoStage Stochastic MixedInteger Linear Programming: From Scenarios to Conditional Scenarios
C. BeltranRoyo
A finite εconvergence algorithm for twostage convex 01 mixedinteger nonlinear stochastic programs with mixedinteger first and second stage variables
Can Li, Ignacio Grossmann
Scenario Reduction for RiskAverse Stochastic Programs
Sebastian Arpon, Tito HomemdeMello, Bernardo Pagnoncelli
Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
Vincent Guigues
Twostage Linear Decision Rules for Multistage Stochastic Programming
Merve Bodur, James Luedtke
Hadamard Directional Differentiability of the Optimal Value of a Linear Secondorder 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 Leclčre, P Carpentier, JPh Chancelier, A Lenoir, F Pacaud
Dynamic Risked Equilibrium
Michael Ferris, Andy Philpott
May 2018
Quantitative Stability of Twostage Stochastic Linear Programs with Full Random Recourse
Jie Jiang, Zhiping Chen
KAdaptability in Stochastic Programming
Christoph Buchheim, Jonas Pruente
Coalescing Data and Decision Sciences for Analytics
Yunxiao Deng, Junyi Liu, Suvrajeet Sen
Twostage stochastic (and distributionally robust) porder conic mixed integer programs: Tight second stage formulations
Manish Bansal, Yingqiu Zhang
Inexact Stochastic Mirror Descent for twostage nonlinear stochastic programs
Vincent Guigues
June 2018
On Distributionally Robust Chance Constrained Program with Wasserstein Distance
Weijun Xie
Envelope Theorems for MultiStage Linear Stochastic Optimization
David Wozabal, Goncalo Terca
July 2018
SPIDER: NearOptimal NonConvex Optimization via Stochastic Path Integrated Differential Estimator
Cong Fang, Chris Junchi Li, Zhouchen Lin, Tong Zhang
August 2018
The Value of Multistage Stochastic Programming in Riskaverse Unit Commitment under Uncertainty
Ali Irfan Mahmutogullari, Shabbir Ahmed, Ozlem Cavus, M. Selim Akturk
On Solving TwoStage Distributionally Robust Disjunctive Programs with a General Ambiguity Set
Manish Bansal, Sanjay Mehrotra
Asymptotic results of Stochastic Decomposition for Twostage Stochastic Quadratic Programming
Junyi Liu, Suvrajeet Sen
September 2018
Risk averse stochastic programming: time consistency and optimal stopping
Alois Pichler, Alexander Shapiro
Chance Constrained Programs with Mixture Distributions
Zhaolin Hu, Wenjie Sun, Shushang Zhu
Inexact cuts in Stochastic Dual Dynamic Programming
Vincent Guigues
On the Value of Multistage Stochastic Facility Location with (or without) Risk Aversion
Xian Yu, Shabbir Ahmed, Siqian Shen
Distributionally Robust Optimization with DecisionDependent Ambiguity Set
Nilay Noyan, Gabor Rudolf, Miguel Lejeune
ChanceConstrained Programming with DecisionDependent Uncertainty
Miguel Lejeune, Francois Margot, Alan Delgado de Oliveira
Wasserstein Distributionally Robust Kalman Filtering
Soroosh Shafieezadeh Abadeh, Viet Anh Nguyen, Daniel Kuhn, Peyman Mohajerin Esfahani
October 2018
Optimal Transport Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes
Jose Blanchet, Karthyek Murthy, Fan Zhang
Stochastic Decomposition for Twostage Stochastic Linear Programs with Random Cost Coefficients
Harsha Gangammanavar, Yifan Liu, Suvrajeet Sen
On the Solution of DecisionHazard Multistage Stochastic Hydrothermal Scheduling Problems
Alexandre Street, Andre Lawson, Davi Valladăo, Alexandre Velloso
Scalable Branching on Dual Decomposition of Stochastic MixedInteger Programming Problems
Kibaek Kim, Brian Dandurand
Inexact cutting planes for twostage mixedinteger stochastic programs
Ward Romeijnders, Niels van der Laan
Bounds for Probabilistic Constrained Problems
Shen Peng, Abdel Lisser, Francesca Maggioni
Asynchronous Projective Hedging for Stochastic Programming
Jonathan Eckstein, JeanPaul Watson, David L. Woodruff
November 2018
The policy graph decomposition of multistage stochastic optimization problems
Oscar Dowson
December 2018
Parallelizing Subgradient Methods for the Lagrangian Dual in Stochastic MixedInteger Programming
Cong Han Lim, Jeff Linderoth, James Luedtke, Stephen Wright
Stochastic Hydrothermal Unit Commitment via Multilevel Scenario Trees and Bundle Regularization
E. C. Finardi, R. D. Lobato, V. L. de Matos, C. Sagastizábal, A. Tomasgard
Machine learning approach to chanceconstrained problems: An algorithm based on the stochastic gradient descent
Lukáš Adam, Martin Branda
A stochastic approximation method for chanceconstrained nonlinear programs
Rohit Kannan, James Luedtke
Parametric Simulation Optimization for Multistage Stochastic Programming
Saeed Ghadimi, Raymond Perkins, Warren Powell
