scispace - formally typeset
Search or ask a question
Topic

Stochastic programming

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


Papers
More filters
Journal ArticleDOI
TL;DR: This paper models this problem as a stochastic program with recourse, and proposes an adaptive large neighborhood search heuristic for its solution, showing the superiority of the proposed heuristic over an alternative solution approach.

128 citations

Journal ArticleDOI
TL;DR: Stochastic integer programming is more complicated than stochastic linear programming, as will be explained for the case of the two-staged Stochastic Programming model in this article, and a survey of the results accomplished in this recent field of research is given.
Abstract: Stochastic integer programming is more complicated than stochastic linear programming, as will be explained for the case of the two-stage stochastic programming model. A survey of the results accomplished in this recent field of research is given.

128 citations

Journal ArticleDOI
TL;DR: A successive convex approximation approach is proposed that produces an approximation to the expected recourse function which captures the future effects of current decisions under uncertainty and decomposes the network in each stage into tree subproblems, whose expected recourse functions are easy to obtain.
Abstract: We consider the class of multistage dynamic networks with random arc capacities a framework that is well suited to model dynamic fleet management problems. We propose a successive convex approximation approach that produces an approximation to the expected recourse function which captures the future effects of current decisions under uncertainty. This method decomposes the network in each stage into tree subproblems, whose expected recourse functions are easy to obtain. We also compare this method with two alternative methods on a set of dynamic fleet management problems. The numerical results show that this method is superior to the two alternative methods.

128 citations

Journal ArticleDOI
TL;DR: This paper shows how one can formulate this problem as a Markov decision process with recourse that considers decision making throughout the process life cycle and at different hierarchical levels, and decomposes the problem into a sequence of single-period subproblems, each of which is a two-stage stochastic program with recourse.

128 citations

Proceedings ArticleDOI
25 Jul 2010
TL;DR: This paper describes how the proposition compares to price responsive demand in terms capacity gains and energy market revenues for renewable generators, and determines the optimal capacity of deferrable demand which can be reliably coupled to renewable generation.
Abstract: In this paper we propose a direct coupling of renewable generation with deferrable demand in order to mitigate the unpredictable and non-controllable fluctuation of renewable power supply. We cast our problem in the form of a stochastic dynamic program and we characterize the value function of the problem in order to develop efficient solution methods. We develop and compare two algorithms for optimally supplying renewable power to time-flexible electricity loads in the presence of a spot market, backward dynamic programming and approximate dynamic programming. We describe how our proposition compares to price responsive demand in terms capacity gains and energy market revenues for renewable generators, and we determine the optimal capacity of deferrable demand which can be reliably coupled to renewable generation.

127 citations


Network Information
Related Topics (5)
Optimization problem
96.4K papers, 2.1M citations
86% related
Scheduling (computing)
78.6K papers, 1.3M citations
85% related
Optimal control
68K papers, 1.2M citations
84% related
Supply chain
84.1K papers, 1.7M citations
83% related
Markov chain
51.9K papers, 1.3M citations
79% related
Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023175
2022423
2021526
2020598
2019578
2018532