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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: The paper presents theory dealing primarily with properties of the relevant functions that result in convex programming problems, and discusses interpretations of this theory.
Abstract: This paper considers a class of optimization problems characterized by constraints that themselves contain optimization problems. The problems in the constraints can be linear programs, nonlinear programs, or two-sided optimization problems, including certain types of games. The paper presents theory dealing primarily with properties of the relevant functions that result in convex programming problems, and discusses interpretations of this theory. It gives an application with linear programs in the constraints, and discusses computational methods for solving the problems.

477 citations

Book
30 Sep 1998
TL;DR: In this paper, the average cost optimization theory for countable state spaces is presented, as well as an inventory model for finite state spaces and a cost minimization theory for continuous time processes.
Abstract: Optimization Criteria. Finite Horizon Optimization. Infinite Horizon Discounted Cost Optimization. An Inventory Model. Average Cost Optimization for Finite State Spaces. Average Cost Optimization Theory for Countable State Spaces. Computation of Average Cost Optimal Policies for Infinite State Spaces. Optimization Under Actions at Selected Epochs. Average Cost Optimization of Continuous Time Processes. Appendices. Bibliography. Index.

475 citations

Book
01 Oct 1987
TL;DR: This paper presents a meta-modelling framework for solving the optimization problems that can be formulated as nonconvex quadratic problems and some of the methods used for solving these problems have been developed.
Abstract: Convex sets and functions.- Optimality conditions in nonlinear programming.- Combinatorial optimization problems that can be formulated as nonconvex quadratic problems.- Enumerative methods in nonconvex programming.- Cutting plane methods.- Branch and bound methods.- Bilinear programming methods for nonconvex quadratic problems.- Large scale problems.- Global minimization of indefinite quadratic problems.- Test problems for global nonconvex quadratic programming algorithms.

472 citations

Journal ArticleDOI
TL;DR: A multinomial approximation of correlated exchange rate processes is proposed that leads to a consistent and tractable lattice model for this compound option valuation problem.
Abstract: In this paper, we develop a stochastic dynamic programming formulation for the valuation of global manufacturing strategy options with switching costs. Overall, we adopt a hierarchical approach. First, exchange rates are modeled as stochastic diffusion processes that exhibit intercountry correlation. Second, the firm's global manufacturing strategy determines options for alternative product designs as well as supply chain network designs. Product options introduce international supply flexibility. Supply chain network options determine the firm's manufacturing flexibility through production capacity and supply chain network linkages. Third, switching costs determine the cost of operational hedging, i.e., the costs associated with reducing downside risks. Overall, the firm maximizes its expected, discounted, global, after-tax value through the exercise of product and supply chain network options and/or through exploitation of operational flexibility contingent on exchange rate realizations. In this environment, the firm must trade off fixed operating costs, switching costs, and the economic benefits derived from exploiting differentials in factor costs and corporate tax rates. A multinomial approximation of correlated exchange rate processes is proposed that leads to a consistent and tractable lattice model for this compound option valuation problem. We then demonstrate how the global manufacturing strategy planning model framework can be utilized to analyze financial and operational hedging strategies.

470 citations

Journal ArticleDOI
TL;DR: A technique to derive the best offering strategy for a wind power producer in an electricity market that includes various trading floors is presented, which translates into a linear programming problem of moderate size which is readily solvable using commercially available software.
Abstract: This paper presents a technique to derive the best offering strategy for a wind power producer in an electricity market that includes various trading floors. Uncertainty pertaining to wind availability, market prices at the different trading stages, and balancing energy needs are properly taken into account. Risk on profit variability is suitably controlled at the cost of a small reduction in expected profit. The proposed technique translates into a linear programming problem of moderate size, which is readily solvable using commercially available software. A variety of numerical case studies demonstrate the interest and effectiveness of the proposed technique. Appropriate conclusions are duly drawn.

464 citations


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