MP
2006
14 years 12 days ago
2006
Abstract. Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing ri...
MP
2006
14 years 12 days ago
2006
We present a distribution-free model of incomplete-information games, both with and without private information, in which the players use a robust optimization approach to contend ...
MP
2006
14 years 12 days ago
2006
Determining if a solution is optimal or near optimal is fundamental in optimization theory, algorithms, and computation. For instance, Karush-Kuhn-Tucker conditions provide necessa...
MP
2006
14 years 12 days ago
2006
Monte Carlo methods have been used extensively in the area of stochastic programming. As with other methods that involve a level of uncertainty, theoretical properties are required...
MP
2006
14 years 12 days ago
2006
In this paper, we present a robust optimization formulation for dealing with demand uncertainty in a dynamic pricing and inventory control problem for a make-to-stock manufacturing...