In this paper we consider stochastic programming problems where the objective function is given as an expected value of a convex piecewise linear random function. With an optimal s...
Alexander Shapiro, Tito Homem-de-Mello, Joocheol K...
A large number of problems in production planning and scheduling, location, transportation, finance, and engineering design require that decisions be made in the presence of uncer...
In this paper we derive estimates of the sample sizes required to solve a multistage stochastic programming problem with a given accuracy by the (conditional sampling) sample aver...
We show that for even quasi-concave objective functions the worst-case distribution, with respect to a family of unimodal distributions, of a stochastic programming problem is a u...
Stochastic programming is the subfield of mathematical programming that considers optimization in the presence of uncertainty. During the last four decades a vast amount of litera...
The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects ...
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...
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...
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...
To solve a decision problem under uncertainty via stochastic programming means to choose or to build a suitable stochastic programming model taking into account the nature of the r...