Approximation in stochastic integer programming [PDF]
Approximation algorithms are the prevalent solution methods in the field of stochastic programming. Problems in this field are very hard to solve. Indeed, most of the research in this field has concentrated on designing solution methods that approximate ...
Vlerk, Maarten H. van der, Stougie, Leen
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Integrated chance constraints: reduced forms and an algorithm [PDF]
We consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints.We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the case that the underlying ...
Vlerk, Maarten H. van der +1 more
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An ALM Model for Pension Funds using Integrated Chance Constraints [PDF]
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by ...
Streutker, M.H. +2 more
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Integrated chance constraints in an ALM model for pension funds [PDF]
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by ...
Vlerk, Maarten H. van der
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Exact solutions to a class of stochastic generalized assignment problems [PDF]
This paper deals with a stochastic Generalized Assignment Problem with recourse. Only a random subset of the given set of jobs will require to be actually processed.
Vlerk, Maarten H. van der +2 more
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Modification of Recourse Data for Mixed-Integer Recourse Models [PDF]
, 2005 We consider modification of the recourse data, consisting of the second-stage parameters and the underlying distribution, as an approximation technique for solving two-stage recourse problems. This approach is applied to several specific classes of mixed-
Vlerk, Maarten H. van der +1 more
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Optimizing electricity distribution using two-stage integer recourse models [PDF]
We consider two planning problems faced by an electricity distributor. Electricity can be ob-tained both from power plants and small generators such as hospitals and greenhouses, whereas the future demand for electricity is uncertain.
Klein Haneveld, W.K. +1 more
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Reformulation and decomposition of integer programs [PDF]
In this survey we examine ways to reformulate integer and mixed integer programs. Typically, but not exclusively, one reformulates so as to obtain stronger linear programming relaxations, and hence better bounds for use in a branch-and-bound based ...
WOLSEY , Laurence +1 more
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Pragmatic distributionally robust optimization for simple integer recourse models
, 2022 Inspired by its success for their continuous counterparts, the standard approach to deal with mixed-integer recourse (MIR) models under distributional uncertainty is to use distributionally robust optimization (DRO). We argue, however, that this modeling
Romeijnders, Ward +2 more
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Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning. [PDF]
OR Spectr, 2023 Caunhye AM, Alem D.
europepmc +1 more source