Stochastic Programming Submissions  2019
January 2019
Twostage Stochastic Programming with Linearly Biparameterized Quadratic Recourse
Junyi Liu, Ying Cui, JongShi Pang, Suvrajeet Sen
Approximating TwoStage ChanceConstrained Programs with Classical Probability Bounds
Bismark Singh, JeanPaul Watson
Admissibility of solution estimators for stochastic optimization
Amitabh Basu, Tu Nguyen, Ao Sun
On DataDriven Prescriptive Analytics with Side Information: A Regularized NadarayaWatson Approach
Chin Pang Ho, Grani Hanasusanto
February 2019
Modeling Flexible Generator Operating Regions via Chanceconstrained Stochastic Unit Commitment
Bismark Singh, Bernard Knueven, JeanPaul Watson
A generalized Benders decompositionbased branch and cut algorithm for twostage stochastic programs with nonconvex constraints and mixedbinary first and second stage variables
Can Li, Ignacio Grossmann
An Adaptive Sequential Sample Average Approximation Framework for Solving Twostage Stochastic Programs
Raghu Pasupathy, Yongjia Song
Single cut and multicut SDDP with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
Vincent Guigues, Michelle Bandarra
RiskAverse Markov Decision Processes under Parameter Uncertainty with an Application to SlowOnset Disaster Relief
Merve Merakli, Simge Kucukyavuz
Robust sample average approximation with small sample sizes
E.J. Anderson, A.B. Philpott
March 2019
Multiscale stochastic programming
Martin Glanzer, Georg Ch. Pflug
On a Class of Riskaverse Submodular Maximization Problems
HaoHsiang Wu, Simge Kucukyavuz
Partially observable multistage stochastic programming
Oscar Dowson, David P. Morton, Bernardo Pagnoncelli
April 2019
Identifying Effective Scenarios for Sample Average Approximation
Lijian Chen
Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
Wim van Ackooij, Daniela Escobar, Martin Glanzer, Georg Ch. Pflug
Normal Approximation for Stochastic Gradient Descent via NonAsymptotic Rates of Martingale CLT
Andreas Anastasiou, Krishnakumar Balasubramanian, Murat A. Erdogdu
A Framework for Solving ChanceConstrained Linear Matrix Inequality Programs
Roya Karimi, Jianqiang Cheng, Miguel Lejeune
May 2019
Stochastic Lipschitz Dynamic Programming
Shabbir Ahmed, Filipe G. Cabral, Bernardo Freitas Paulo da Costa
RiskSensitive Variational Bayes: Formulations and Bounds
Prateek Jaiswal, Harsha Honnappa, Vinayak A. Rao
Solving ChanceConstrained Problems via a Smooth SampleBased Nonlinear Approximation
Alejandra PenaOrdieres, James Luedtke, Andreas Waechter
Lagrangian relaxation based heuristics for a chanceconstrained optimization model of a hybrid solarbattery storage system
Bismark Singh, Bernard Knueven
Acceleration of SVRG and Katyusha X by Inexact Preconditioning
Yanli Liu, Fei Feng, Wotao Yin
June 2019
Risk Guarantees for EndtoEnd Prediction and Optimization Processes
Nam HoNguyen, Fatma KilincKarzan
Adaptive Twostage Stochastic Programming with an Application to Capacity Expansion Planning
Beste Basciftci, Shabbir Ahmed, Nagi Gebraeel
Using SingleScenario Relaxations to Solve Stochastic MixedInteger Programs
David T. Mildebrath, Victor A. Gonzalez, Andrew J. Schaefer, Mehdi Hemmati
July 2019
A Review on the Performance of Linear and Mixed Integer TwoStage Stochastic Programming Algorithms and Software
Juan Torres, Can Li, Robert Apap, Ignacio Grossmann
The stochastic multigradient algorithm for multiobjective optimization and its application to supervised machine learning
S. Liu, L. N. Vicente
A conservative convergent solution for continuously distributed twostage stochastic optimization problems
Carlos Gamboa, Davi Valladão, Alexandre Street
Logicbased Benders Decomposition and Binary Decision Diagram Based Approaches for Stochastic Distributed Operating Room Scheduling
Cheng Guo, Merve Bodur, Dionne M. Aleman, David R. Urbach
August 2019
Distributionally Robust Optimization: A Review
Hamed Rahimian, Sanjay Mehrotra
Tighter Reformulations using Classical Dawson and Sankoff Bounds for Approximating TwoStage ChanceConstrained Programs
Bismark Singh
Gaining traction  On the convergence of an inner approximation scheme for probability maximization
Csaba Fabian
Tractable Reformulations of Distributionally Robust Twostage Stochastic Programs with $\infty$ Wasserstein Distance
Weijun Xie
September 2019
The riskaverse ultimate pit problem
Gianpiero Canessa, Eduardo Moreno, Bernardo Pagnoncelli
Penalized stochastic gradient methods for stochastic convex optimization with expectation constraints
Xiantao Xiao
Stationary Multistage Programs
Alexander Shapiro, Lingquan Ding
RiskAverse Optimal Control
Alois Pichler, Ruben Schlottter
Stochastic generalized gradient methods for training nonconvex nonsmooth neural networks
Vladimir I. Norkin
Stochastic Dynamic Linear Programming: A Sequential Samplingbased Multistage Stochastic Programming Algorithm
Harsha Gangammanavar, Suvrajeet Sen
October 2019
Optimal Crashing of an Activity Network with Disruptions
Haoxiang Yang, David Morton
Joint chanceconstrained programs and the intersection of mixing sets through a submodularity lens
Fatma KılınçKarzan, Simge Küçükyavuz, Dabeen Lee
Improving sample average approximation using distributional robustness
E.J. Anderson, A.B. Philpott
Admissibility of solution estimators for stochastic optimization
Amitabh Basu, Tu Nguyen, Ao Sun
Stochastic Optimization Models of Insurance Mathematics
Yuri M. Ermoliev, Vladimir I. Norkin, Bogdan V. Norkin
A DataDriven Approach for a Class of Stochastic Dynamic Optimization Problems
Thuener Silva, Davi Valladão, Tito HomemdeMello
Calculating Optimistic Likelihoods Using (Geodesically) Convex Optimization
Viet Anh Nguyen, Soroosh ShafieezadehAbadeh , ManChung Yue, Daniel Kuhn, Wolfram Wiesemann
Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation
Viet Anh Nguyen, ShafieezadehAbadeh Soroosh, ManChung Yue, Daniel Kuhn, Wolfram Wiesemann
Coupled Learning Enabled Stochastic Programming with Endogenous Uncertainty
Junyi Liu, Guangyu Li, Suvrajeet Sen
November 2019
Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization
Viet Anh Nguyen, Soroosh ShafieezadehAbadeh, Daniel Kuhn, Peyman Mohajerin Esfahani
Duality and sensitivity analysis of multistage linear stochastic programs
Vincent Guigues, Alexander Shapiro, Yi Cheng
December 2019
Upper and Lower Bounds for Large Scale Multistage Stochastic Optimization Problems: Decomposition Methods
Pierre Carpentier, JeanPhilippe Chancelier, Michel De Lara, François Pacaud
Upper and Lower Bounds for Large Scale Multistage Stochastic Optimization Problems: Application to Microgrid Management
Pierre Carpentier, JeanPhilippe Chancelier, Michel De Lara, François Pacaud
Distributionally Robust Stochastic Dual Dynamic Programming
Daniel Duque, David P. Morton
Stochastic Dynamic Cutting Plane for multistage stochastic convex programs
Vincent Guigues, Renato Monteiro
On Sample Average Approximation for Twostage Stochastic Programs without Relatively Complete Recourse
Rui Chen, James Luedtke
Stochastic Dual Dynamic Programming for Multistage Stochastic MixedInteger Nonlinear Optimization
Shixuan Zhang, Xu Andy Sun
QuasiMonte Carlo methods for twostage stochastic programs: Mixedinteger models
Hernan Leoevey, Werner Roemisch
Lagrangian Dual Decision Rules for Multistage Stochastic Mixed Integer Programming
Maryam Daryalal, Merve Bodur, James R. Luedtke
