4 search results - page 1 / 1 » Convexity and decomposition of mean-risk stochastic programs |
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...
MP
2006
13 years 4 months ago
2006
Abstract. Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing ri...
ICCAD
2007
IEEE
14 years 1 months ago
2007
IEEE
Increasing effects of fabrication variability have inspired a growing interest in statistical techniques for design optimization. In this work, we propose a Monte-Carlo driven sto...
ANOR
2006
13 years 4 months ago
2006
This paper derives a new splitting-based decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Roc...