65 search results - page 2 / 13 » Conditioning of convex piecewise linear stochastic programs |
MP
2006
13 years 5 months ago
2006
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
SIAMJO
2011
13 years 6 days ago
2011
Abstract. We propose a unifying framework for polyhedral approximation in convex optimization. It subsumes classical methods, such as cutting plane and simplicial decomposition, bu...
SIAMJO
2002
13 years 4 months ago
2002
We consider the problem of constructing mean{risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analys...
IOR
2011
13 years 7 days ago
2011
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as ...
CPAIOR
2007
Springer
13 years 11 months ago
2007
Springer
One of the most important policies adopted in inventory control is the (R,S) policy (also known as the “replenishment cycle” policy). Under the non-stationary demand assumption...