6 search results - page 1 / 2 » A note on scenario reduction for two-stage stochastic progra... |
ISAAC
2010
Springer
13 years 2 months ago
2010
Springer
Abstract. We consider the Steiner tree problem under a 2-stage stochastic model with recourse and finitely many scenarios (SSTP). Thereby, edges are purchased in the first stage wh...
IOR
2010
13 years 3 months ago
2010
This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting plane...
ORL
2007
13 years 4 months ago
2007
We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The impo...
SAGA
2009
Springer
13 years 11 months ago
2009
Springer
Stochastic programming problems appear as mathematical models for optimization problems under stochastic uncertainty. Most computational approaches for solving such models are base...
SAGA
2009
Springer
13 years 11 months ago
2009
Springer
We propose a generic method for obtaining quickly good upper bounds on the minimal value of a multistage stochastic program. The method is based on the simulation of a feasible dec...