We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
To model combinatorial decision problems involving uncertainty and probability, we extend the stochastic constraint programming framework proposed in [Walsh, 2002] along a number ...
We propose an SQP-type algorithm for solving nonlinear second-order cone programming (NSOCP) problems. At every iteration, the algorithm solves a convex SOCP subproblem in which th...
The Network Interdiction Problem involves interrupting an adversary's ability to maximize flow through a capacitated network by destroying portions of the network. A budget c...
-- The optimal buffer allocation in queueing network systems is a difficult stochastic, non-linear, integer mathematical programming problem. Moreover, the objective function, the ...
Frederico R. B. Cruz, A. R. Duarte, Tom Van Woense...