Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming

Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming
Author: Uwe Gotzes
Publisher: Springer Science & Business Media
Total Pages: 96
Release: 2009-09-30
Genre: Computers
ISBN: 3834899917

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Uwe Gotzes analyzes an approach to account for risk aversion in two-stage models based upon partial orders on the set of real random variables. He illustrates the superiority of the proposed decomposition method over standard solvers for example with numerical experiments with instances from energy investment.


Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming
Language: en
Pages: 96
Authors: Uwe Gotzes
Categories: Computers
Type: BOOK - Published: 2009-09-30 - Publisher: Springer Science & Business Media

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Uwe Gotzes analyzes an approach to account for risk aversion in two-stage models based upon partial orders on the set of real random variables. He illustrates t
Risk Management in Stochastic Integer Programming
Language: en
Pages: 107
Authors: Frederike Neise
Categories: Mathematics
Type: BOOK - Published: 2008-09-25 - Publisher: Springer Science & Business Media

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The author presents two concepts to handle the classic linear mixed-integer two-stage stochastic optimization problem. She describes mean-risk modeling and stoc
Lectures on Stochastic Programming
Language: en
Pages: 447
Authors: Alexander Shapiro
Categories: Mathematics
Type: BOOK - Published: 2009-01-01 - Publisher: SIAM

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Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their
Stochastic Programming
Language: en
Pages: 549
Authors: Horand Gassmann
Categories: Business & Economics
Type: BOOK - Published: 2013 - Publisher: World Scientific

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This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represe
Decomposition Algorithms for Two-stage Stochastic Integer Programming
Language: en
Pages:
Authors: John H. Penuel
Categories:
Type: BOOK - Published: 2009 - Publisher:

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ABSTRACT: Stochastic programming seeks to optimize decision making in uncertain conditions. This type of work is typically amenable to decomposition into first-