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Stochastic programming

About: Stochastic programming is a research topic. Over the lifetime, 12343 publications have been published within this topic receiving 421049 citations.


Papers
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Journal ArticleDOI
TL;DR: In this paper, it is shown that linear programming problems with fuzzy coefficients in constraints can be reduced to a linear semi-infinite programming problem, and a cutting plane algorithm is introduced with a convergence proof.
Abstract: This paper presents a new method for solving linear programming problems with fuzzy coefficients in constraints. It is shown that such problems can be reduced to a linear semi-infinite programming problem. The relations between optimal solutions and extreme points of the linear semi-infinite program are established. A cutting plane algorithm is introduced with a convergence proof, and a numerical example is included to illustrate the solution procedure.

136 citations

Proceedings Article
01 Mar 2017
TL;DR: The authors proposed an end-to-end approach for learning probabilistic machine learning models in a manner that directly captures the ultimate task-based objective for which they will be used, within the context of stochastic programming.
Abstract: With the increasing popularity of machine learning techniques, it has become common to see prediction algorithms operating within some larger process. However, the criteria by which we train these algorithms often differ from the ultimate criteria on which we evaluate them. This paper proposes an end-to-end approach for learning probabilistic machine learning models in a manner that directly captures the ultimate task-based objective for which they will be used, within the context of stochastic programming. We present three experimental evaluations of the proposed approach: a classical inventory stock problem, a real-world electrical grid scheduling task, and a real-world energy storage arbitrage task. We show that the proposed approach can outperform both traditional modeling and purely black-box policy optimization approaches in these applications.

136 citations

Journal ArticleDOI
TL;DR: This paper analyzes the corresponding problem arising in the daily operation of the Austrian Red Cross and proposes four different modifications of metaheuristic solution approaches for this problem as a dynamic stochastic dial-a-ride problem with expected return transports.

136 citations

Journal ArticleDOI
TL;DR: An efficient approximation scheme for the difficult multistage stochastic integer program is developed and it is proved that the proposed scheme is asymptotically optimal.
Abstract: This paper addresses a general class of capacity planning problems under uncertainty, which arises, for example, in semiconductor tool purchase planning. Using a scenario tree to model the evolution of the uncertainties, we develop a multistage stochastic integer programming formulation for the problem. In contrast to earlier two-stage approaches, the multistage model allows for revision of the capacity expansion plan as more information regarding the uncertainties is revealed. We provide analytical bounds for the value of multistage stochastic programming (VMS) afforded over the two-stage approach. By exploiting a special substructure inherent in the problem, we develop an efficient approximation scheme for the difficult multistage stochastic integer program and prove that the proposed scheme is asymptotically optimal. Computational experiments with realistic-scale problem instances suggest that the VMS for this class of problems is quite high; moreover, the quality and performance of the approximation scheme is very satisfactory. Fortunately, this is more so for instances for which the VMS is high.

136 citations

Journal ArticleDOI
TL;DR: This analysis constitutes so far the most realistic attempt to better understand and approach the real PSO dynamics from a stochastic point of view.
Abstract: Particle swarm optimization (PSO) can be interpreted physically as a particular discretization of a stochastic damped mass-spring system. Knowledge of this analogy has been crucial to derive the PSO continuous model and to introduce different PSO family members including the generalized PSO (GPSO) algorithm, which is the generalization of PSO for any time discretization step. In this paper, we present the stochastic analysis of the linear continuous and generalized PSO models for the case of a stochastic center of attraction. Analysis of the GPSO second order trajectories is performed and clarifies the roles of the PSO parameters and that of the cost function through the algorithm execution: while the PSO parameters mainly control the eigenvalues of the dynamical systems involved, the mean trajectory of the center of attraction and its covariance functions with the trajectories and their derivatives (or the trajectories in the near past) act as forcing terms to update first and second order trajectories. The similarity between the oscillation center dynamics observed for different kinds of benchmark functions might explain the PSO success for a broad range of optimization problems. Finally, a comparison between real simulations and the linear continuous PSO and GPSO models is shown. As expected, the GPSO tends to the continuous PSO when time step approaches zero. Both models account fairly well for the dynamics (first and second order moments) observed in real runs. This analysis constitutes so far the most realistic attempt to better understand and approach the real PSO dynamics from a stochastic point of view.

135 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023175
2022423
2021526
2020598
2019578
2018532