Results 221 to 230 of about 251,693 (300)

A Decomposition Algorithm for Two-Stage Stochastic Programs with Nonconvex Recourse Functions [PDF]

SIAM J Optim, 2022
In this paper, we have studied a decomposition method for solving a class of nonconvex two-stage stochastic programs, where both the objective and constraints of the second-stage problem are nonlinearly parameterized by the first-stage variables.
Hanyang Li, Ying Cui
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BOUNDS FOR TWO-STAGE STOCHASTIC PROGRAMS WITH FIXED RECOURSE

Mathematics of Operations Research, 1994
This 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.
openaire   +2 more sources

Two-Stage Stochastic Programs with Mixed Probabilities

SIAM Journal on Optimization, 2007
Summary: We extend the traditional two-stage linear stochastic program by probabilistic constraints imposed in the second stage. This adds nonlinearity such that basic arguments for analyzing the structure of linear two-stage stochastic programs have to be rethought from the very beginning.
Bosch, Paul, Jofré, Alejandro, Schultz, Rüdiger   +2 more
openaire   +3 more sources

Formulating Two-Stage Stochastic Programs for Interior Point Methods

Operations Research, 1991
This 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., Mulvey, John M., Carpenter, Tamra J.   +2 more
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Improving aggregation bounds for two-stage stochastic programs

Operations Research Letters, 1999
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rosa, Charles H., Takriti, Samer
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Distributionally Robust Two-Stage Stochastic Programming

SIAM Journal on Optimization, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Daniel Duque, Sanjay Mehrotra, David P. Morton   +2 more
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Constraint generation for risk averse two-stage stochastic programs

European Journal of Operational Research, 2021
A significant share of stochastic optimization problems in practice can be cast as two-stage stochastic programs. If uncertainty is available through a finite set of scenarios, which frequently occurs, and we are interested in accounting for risk ...
R. Mínguez, W. Ackooij, R. García-Bertrand   +2 more
semanticscholar   +1 more source

Two-Stage Stochastic Programs with Recourse

Encyclopedia of Optimization, 2001
Francois Louveaux, John R. Birge
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Two‐stage stochastic integer programming: a survey

Statistica Neerlandica, 1996
Stochastic integer programming is more complicated than stochastic linear programming, as will be explained for the case of the two‐stage stochastic programming model. A survey of the results accomplished in this recent field of research is given.
Schultz, R., Stougie, L., van der Vlerk, M.H.   +2 more
openaire   +3 more sources