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Stochastic Programming Submissions - 2020

January 2020

Games with distributionally robust joint chance constraints
Shen Peng, Abdel Lisser, Vikas Vikram Singh

Distributionally Robust Optimization under Decision-Dependent Ambiguity Set with an Application to Machine Scheduling
Nilay Noyan, Gabor Rudolf, Miguel Lejeune


February 2020

Scenario generation using historical data paths
Michal Kaut

Optimal Scenario Generation for Heavy-tailed Chance Constrained Optimization
Jose Blanchet, Fan Zhang, Bert Zwart

Two-Stage Facility Location Problems with Restricted Recourse
Esra Koca, Nilay Noyan, Hande Yaman

Distributionally Robust Bottleneck Combinatorial Problems: Uncertainty Quantification and Robust Decision Making
Weijun Xie, Jie Zhang, Shabbir Ahmed

Multistage Distributionally Robust Mixed-Integer Programming with Decision-Dependent Moment-Based Ambiguity Sets
Xian Yu, Siqian Shen


March 2020

Distribution-free Algorithms for Learning Enabled Predictive Stochastic Programming
Shuotao Diao, Suvrajeet Sen

Optimal Power Flow in Distribution Networks under N-1 Disruptions: A Multi-stage Stochastic Programming Approach
Haoxiang Yang, Harsha Nagarajan

Chi-Optimization - Novel Approach for Optimization under Uncertainty with Application on Forecast- and Decision Problems
Uwe Kuss

Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty under Wasserstein Ambiguity
Nam Ho-Nguyen, Fatma Kılınç-Karzan, Simge Küçükyavuz, Lee Dabeen

Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty under Wasserstein Ambiguity
Nam Ho-Nguyen, Fatma Kılınç-Karzan, Simge Küçükyavuz, Dabeen Lee

Distributionally Robust Optimization under Distorted Expectations
Jun Cai, Jonathan Yu-Meng Li, Tiantian Mao


April 2020

On a class of stochastic programs with exponentially many scenarios
Gustavo Angulo

Dual Decomposition of Two-Stage Distributionally Robust Mixed-Integer Programming under the Wasserstein Ambiguity Set
Kibaek Kim

Inexact cuts in SDDP applied to multistage stochastic nondifferentiable problems
Vincent Guigues, Renato Monteiro, Benar Svaiter

On Linear Optimization over Wasserstein Balls
Man-Chung Yue, Daniel Kuhn, Wolfram Wiesemann

Epi-convergence of Sample Averages of a Random Lower Semi-continuous Functional Generated by a Markov Chain and Application to Stochastic Optimization
Arnab Sur, John Birge


May 2020

Computationally Efficient Approximations for Distributionally Robust Optimization
Meysam Cheramin, Jianqiang Cheng, Ruiwei Jiang, Kai Pan

Constant Depth Decision Rules for multistage optimization under uncertainty
Vincent Guigues, Anatoli Juditsky, Arkadi Nemirovski


June 2020

Dual bounds for periodical stochastic programs
Alexander Shapiro, Yi Cheng

Games with joint chance constraints under mixture distributions
Shen Peng, Navnit Yadav, Abdel Lisser, Vikas Vikram Singh

Distributionally robust zero-sum games
Ayush Agarwal, Navnit Yadav, Vikas Vikram Singh, Abdel Lisser

An Analysis of Constant Step Size SGD in the Non-convex Regime: Asymptotic Normality and Bias
Lu Yu, Krishnakumar Balasubramanian, Volgushev Stanislav, Murat A. Erdogdu

Quanti cation for the rate of convergence with sample average approximation under heavy tailed distributions
Jie Jiang, Zhiping Chen, Xinming Yang


July 2020

Cut-Sharing Across Trees and Efficient Sequential Sampling for SDDP with Uncertainty in the RHS
Pedro Borges

Strong Formulations for Distributionally Robust Chance-Constrained Programs with Left-Hand Side Uncertainty under Wasserstein Ambiguity
Nam Ho-Nguyen, Fatma Kılınç-Karzan, Simge Küçükyavuz, Dabeen Lee

Data-driven sample average approximation with covariate information
Rohit Kannan, Güzin Bayraksan, James Luedtke


August 2020

Large Deviation Bounds for Markov Chain Sample Average Approximation via Weak Convergence
Arnab Sur

An Improved Analysis of Stochastic Gradient Descent with Momentum
Yanli Liu, Yuan Gao, Wotao Yin

Multistage stochastic programs with the entropic risk measure
Oscar Dowson, David Morton, Bernardo Pagnoncelli


September 2020

On the Impact of Deep Learning-based Time-series Forecasts on Multistage Stochastic Programming Policies
Juyoung Wang, Mucahit Cevik, Merve Bodur

Are Weaker Stationarity Concepts of Stochastic MPCC Problems Significant in Absence of SMPCC-LICQ?
Arnab Sur

Distributionally Robust Two-Stage Stochastic Programming
Daniel Duque, Sanjay Mehrotra, David P. Morton


October 2020

Risk-Averse Multistage Stochastic Programs with Expected Conditional Risk Measures
Maryam Khatami, Thuener Silva, Bernardo K. Pagnoncelli, Lewis Ntaimo

A Novel Solution Methodology for Wasserstein-based Data-Driven Distributionally Robust Problems
Carlos Gamboa, Davi Valladão, Alexandre Street, Tito Homem-de-Mello


November 2020

A Parallel Hub-and-Spoke System for Large-Scale Scenario-Based Optimization Under Uncertainty
Bernard Knueven, David Mildebrath, Christopher Muir, John Siirola, Jean-Paul Watson, David Woodruff

Stochastic Decomposition Method for Two-Stage Distributionally Robust Optimization
Harsha Gangammanavar, Manish Bansal

An equivalent mathematical program for games with random constraints
Vikas Vikram SINGH, Abdel Lisser, Monika Arora

A Primal-Dual Algorithm for Risk Minimization
Drew Kouri, Thomas Surowiec

Approximating the Lagrangian Dual of a Stochastic Integer Program via Fenchel Cuts
Rui Chen, James Luedtke

Contextual Chance-Constrained Programming
Hamed Rahimian, Bernardo Pagnoncelli

Optimization under rare chance constraints
Shanyin Tong, Anirudh Subramanyam, Vishwas Rao


December 2020

ALSO-X is Better than CVaR: Convex Approximations for Chance Constrained Programs Revisited
Nan Jiang, Weijun Xie

A converging Benders’ decomposition algorithm for two-stage mixed-integer recourse models
Niels van der Laan, Ward Romeijnders


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