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In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish clo...
The problem of optimal synthesis of an integrated water system is addressed in this work, where water using processes and water treatment operations are combined into a single net...
We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...