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Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming

2009-09-30 Computers
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Release : 2009-09-30
Genre : Computers
Kind : eBook
Book Rating : 917/5 ( reviews)

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Book Synopsis Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming by : Uwe Gotzes

Download or read book Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming written by Uwe Gotzes. This book was released on 2009-09-30. Available in PDF, EPUB and Kindle. Book excerpt: Uwe Gotzes analyzes an approach to account for risk aversion in two-stage models based upon partial orders on the set of real random variables. He illustrates the superiority of the proposed decomposition method over standard solvers for example with numerical experiments with instances from energy investment.

Risk Management in Stochastic Integer Programming

2008-09-25 Mathematics
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Release : 2008-09-25
Genre : Mathematics
Kind : eBook
Book Rating : 369/5 ( reviews)

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Book Synopsis Risk Management in Stochastic Integer Programming by : Frederike Neise

Download or read book Risk Management in Stochastic Integer Programming written by Frederike Neise. This book was released on 2008-09-25. Available in PDF, EPUB and Kindle. Book excerpt: The author presents two concepts to handle the classic linear mixed-integer two-stage stochastic optimization problem. She describes mean-risk modeling and stochastic programming with first order dominance constraints. Both approaches are applied to optimize the operation of a dispersed generation system.

Lectures on Stochastic Programming

2009-01-01 Mathematics
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Release : 2009-01-01
Genre : Mathematics
Kind : eBook
Book Rating : 759/5 ( reviews)

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Book Synopsis Lectures on Stochastic Programming by : Alexander Shapiro

Download or read book Lectures on Stochastic Programming written by Alexander Shapiro. This book was released on 2009-01-01. Available in PDF, EPUB and Kindle. Book excerpt: Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. Readers will find coverage of the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle. The book also includes the theory of two-stage and multistage stochastic programming problems; the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality; and statistical inference in and risk-averse approaches to stochastic programming.

Stochastic Programming

2013 Business & Economics
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Release : 2013
Genre : Business & Economics
Kind : eBook
Book Rating : 50X/5 ( reviews)

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Book Synopsis Stochastic Programming by : Horand Gassmann

Download or read book Stochastic Programming written by Horand Gassmann. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

Decomposition Algorithms for Two-stage Stochastic Integer Programming

2009
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Release : 2009
Genre :
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Book Rating : /5 ( reviews)

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Book Synopsis Decomposition Algorithms for Two-stage Stochastic Integer Programming by : John H. Penuel

Download or read book Decomposition Algorithms for Two-stage Stochastic Integer Programming written by John H. Penuel. This book was released on 2009. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: Stochastic programming seeks to optimize decision making in uncertain conditions. This type of work is typically amenable to decomposition into first- and second-stage decisions. First-stage decisions must be made now, while second-stage decisions are made after realizing certain future conditions and are typically constrained by first-stage decisions. This work focuses on two stochastic integer programming applications. In Chapter 2, we investigate a two-stage facility location problem with integer recourse. In Chapter 3, we investigate the graph decontamination problem with mobile agents. In both problems, we develop cutting-plane algorithms that iteratively solve the first-stage problem, then solve the second-stage problem and glean information from the second-stage solution with which we refine first-stage decisions. This process is repeated until optimality is reached. If the second-stage problems are linear programs, then duality can be exploited in order to refine first-stage decisions. If the second-stage problems are mixed-integer programs, then we resort to other methods to extract information from the second-stage problem. The applications discussed in this work have mixed-integer second-stage problems, and accordingly we develop specialized cutting-plane algorithms and demonstrate the efficacy of our solution methods.

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