Keyword: stochastic linear programme

Found 17 papers in total
Two-stage stochastic linear programs with incomplete information on uncertainty
Two-stage stochastic linear programs with incomplete information on uncertainty
2014,
Two‐stage stochastic linear programming is a classical model in operations...
SDDP for some interstage dependent risk‐averse problems and application to hydro‐thermal planning
SDDP for some interstage dependent risk‐averse problems and application to hydro‐thermal planning
2014,
We consider interstage dependent stochastic linear programs where both the random...
Dynamic sequencing and cut consolidation for the parallel hybrid‐cut nested L‐shaped method
Dynamic sequencing and cut consolidation for the parallel hybrid‐cut nested L‐shaped method
2013,
The nested L‐shaped method is used to solve two‐ and multi‐stage...
Benders Decomposition for multi‐stage stochastic mixed complementarity problems – Applied to a global natural gas market model
Benders Decomposition for multi‐stage stochastic mixed complementarity problems – Applied to a global natural gas market model
2013,
This paper presents and implements a Benders Decomposition type of algorithm for...
Iterative estimation maximization for stochastic linear programs with conditional value‐at‐risk constraints
Iterative estimation maximization for stochastic linear programs with conditional value‐at‐risk constraints
2012,
We present a new algorithm, iterative estimation maximization (IEM), for stochastic...
A probabilistic position value
A probabilistic position value
2012,
In this article, we generalize the position value, defined by Meessen (Master’s...
Stackelberg solutions for fuzzy random bilevel linear programming through level sets and probability maximization
Stackelberg solutions for fuzzy random bilevel linear programming through level sets and probability maximization
2012,
This paper considers Stackelberg solutions for bilevel linear programming problems...
Pattern definition of the p‐efficiency concept
Pattern definition of the p‐efficiency concept
2012,
This study revisits the celebrated p ‐efficiency concept introduced by...
Optimal Population Path Fitting for Flawed Vital Statistics and Censuses
Optimal Population Path Fitting for Flawed Vital Statistics and Censuses
2011,
A problem, often encountered in the analysis of historical data, is the difficulty in...
Scenario‐based portfolio selection of investment projects with incomplete probability and utility information
Scenario‐based portfolio selection of investment projects with incomplete probability and utility information
2012,
In the selection of investment projects, it is important to account for exogenous...
Stackelberg solutions for fuzzy random two‐level linear programming through level sets and fractile criterion optimization
Stackelberg solutions for fuzzy random two‐level linear programming through level sets and fractile criterion optimization
2012,
This paper considers Stackelberg solutions for two‐level linear programming...
On stochastic linear programming problems with the quantile criterion
On stochastic linear programming problems with the quantile criterion
2011,
We study qualitative properties of a stochastic linear programming problem with...
Robust filtering of process in the stationary difference stochastic system
Robust filtering of process in the stationary difference stochastic system
2011,
A technique to construct the robust Kalman filter for process estimation in the...
Stochastic quasigradient algorithm to minimize the function of integral quantile
Stochastic quasigradient algorithm to minimize the function of integral quantile
2012,
Proposed was a stochastic quasigradient algorithm to minimize the integral quantile...
On the two‐stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
On the two‐stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters
2012,
Consideration was given to the two‐stage problem of stochastic linear...
Solving discrete stochastic linear programs with simple recourse by the dualplex algorithm
Solving discrete stochastic linear programs with simple recourse by the dualplex algorithm
1994,
This paper shows how the large-scale discrete version of the stochastic...
Perturbation analysis of linear programming problems with random parameters
Perturbation analysis of linear programming problems with random parameters
1994,
This paper presents a methodology for analyzing large scale engineering problems with...
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