Journal ArticleDOI
Scenario-based stochastic programs: Resistance with respect to sample
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A contamination technique is presented as a numerically tractable tool to post-optimization and analysis of robustness of the optimal value of scenario-based stochastic programs and of the expected value problems.Abstract:
A contamination technique is presented as a numerically tractable tool to post-optimization and analysis of robustness of the optimal value of scenario-based stochastic programs and of the expected value problems Detailed applications of the method concern the two-stage stochastic linear programs with random recourse and the corresponding robust optimization problemsread more
Citations
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Journal ArticleDOI
Generating Scenario Trees for Multistage Decision Problems
Kjetil Høyland,Stein W. Wallace +1 more
TL;DR: This paper presents a method based on nonlinear programming that can be used to generate a limited number of discrete outcomes that satisfy specified statistical properties, and argues that what are the relevant properties, will be problem dependent.
Journal ArticleDOI
Interior-Point Method for Reservoir Operation with Stochastic Inflows
TL;DR: In this paper, a new method is proposed for long-term reservoir operation planning with stochastic inflows, which is formulated as a two-stage linear program with simple recourse.
Journal ArticleDOI
Financial planning via multi-stage stochastic optimization
John M. Mulvey,Bala Shetty +1 more
TL;DR: This paper describes a framework for modeling significant financial planning problems based on multi-stage optimization under uncertainty based on interior-point methods and possesses a special structure that lends itself to parallel and distributed optimization algorithms.
Book ChapterDOI
Power management in a hydro-thermal system under uncertainty by Lagrangian relaxation
TL;DR: A dynamic multistage stochastic programming model for the cost-optimal generation of electric power in a hydro-thermal system under uncertainty in load, inflow to reservoirs and prices for fuel and delivery contracts is presented.
Journal ArticleDOI
Supply chain networks with global outsourcing and quick-response production under demand and cost uncertainty
Zugang Liu,Anna Nagurney +1 more
TL;DR: This paper develops a modeling and computational framework for supply chain networks with global outsourcing and quick-response production under demand and cost uncertainty and formulate the governing equilibrium conditions of the competing decision-makers who are faced with two-stage stochastic programming problems.
References
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Journal ArticleDOI
The Influence Curve and Its Role in Robust Estimation
TL;DR: In this article, the first derivative of an estimator viewed as functional and the ways in which it can be used to study local robustness properties are discussed, and a theory of robust estimation "near" strict parametric models is briefly sketched and applied to some classical situations.
Journal ArticleDOI
Robust Optimization of Large-Scale Systems
TL;DR: This paper characterize the desirable properties of a solution to models, when the problem data are described by a set of scenarios for their value, instead of using point estimates, and develops a general model formulation, called robust optimization RO, that explicitly incorporates the conflicting objectives of solution and model robustness.
Journal ArticleDOI
Scenario optimization
TL;DR: This paper presents a simple approach to solving a stochastic model, based on a particular method for combining such scenario solutions into a single, feasible policy, that can handle multiple competing objectives, complex Stochastic constraints and may be applied in contexts other than optimization.
Journal ArticleDOI
Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
Julia L. Higle,Suvrajeet Sen +1 more
TL;DR: A cutting plane algorithm for two-stage stochastic linear programs with recourse that uses randomly generated observations of random variables to construct statistical estimates of supports of the objective function and establishes the convergence of the algorithm under relatively mild assumptions.
Journal ArticleDOI
A bank asset and liability management model
Martin Kusy,William T. Ziemba +1 more
TL;DR: A multiperiod stochastic linear programming model ALM is developed that includes the essential institutional, legal, financial, and bank-related policy considerations, and their uncertainties, yet is computationally tractable for realistically sized problems and generates superior policies.