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Two Stage Stochastic Linear Programs
1996Over the past several decades, linear programming (LP) has established itself as one of the most fundamental tools for planning. Its applications have become routine in several disciplines including those within engineering, business, economics, environmental studies and many others.
Julia L. Higle, Suvrajeet Sen
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Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
INFORMS Journal on Computing, 2021Stochastic decomposition (SD) has been a computationally effective approach to solve large-scale stochastic programming (SP) problems arising in practical applications. By using incremental sampling, this approach is designed to discover an appropriate sample size for a given SP instance, thus precluding the need for either scenario reduction or ...
Harsha Gangammanavar +2 more
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BOUNDS FOR TWO-STAGE STOCHASTIC PROGRAMS WITH FIXED RECOURSE
Mathematics of Operations Research, 1994This paper develops upper and lower bounds on two-stage stochastic linear programs using limited moment information. The case considered is when both the right-hand side as well as the objective coefficients of the second stage problem are random.
Edirisinghe, N. C. P., Ziemba, W. T.
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Programmed Control of Two-Stage Stochastic Production Systems
Automation and Remote Control, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Exponential convergence of two-stage stochastic programming
IFAC Proceedings Volumes, 1999Abstract This paper considers a procedure of two-stage stochastic programming in which the performance function to be optimized is replaced by its empirical mean. This procedure converts a stochastic optimization problem into a deterministic one for which many methods are available.
Liyi Dai, Chun-Hung Chen, John Birge
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Two-Stage Stochastic Programming Problems
1995In this chapter we consider stochastic programming problems where decisions are made in two stages and the observation of a (vector valued) random variable takes place in between. Such problems are called two-stage stochastic programming problems or stochastic programming with recourse.
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Deviation Measures in Linear Two-Stage Stochastic Programming
Mathematical Methods of Operations Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Formulating Two-Stage Stochastic Programs for Interior Point Methods
Operations Research, 1991This paper describes an approach for modeling two-stage stochastic programs that yields a form suitable for interior point algorithms. A staircase constraint structure is created by replacing first stage variables with sparse “split variables” in conjunction with side-constraints. Dense columns are thereby eliminated.
Lustig, Irvin J. +2 more
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Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
Operations Research, 2018In this paper, we develop a risk-averse two-stage stochastic program (RTSP) that explicitly incorporates the distributional ambiguity covering both discrete and continuous distributions. We formulate RTSP from the perspective of distributional robustness by hedging against the worst-case distribution within an ambiguity set and considering the ...
Ruiwei Jiang, Yongpei Guan
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Two-Stage Stochastic Programming Models and Algorithms
2017This chapter discusses the technical and management solution approaches for solving UC problems under uncertainty. There are many recent programs and studies targeted to uncertainty resistance, such as demand response program, energy storage, real-time rescheduling, contingency management, risk measure and control.
Yuping Huang +2 more
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