71 search results - page 1 / 15 » New Formulations for Optimization under Stochastic Dominance... |
SIAMJO
2008
13 years 4 months ago
2008
Stochastic dominance constraints allow a decision-maker to manage risk in an optimization setting by requiring their decision to yield a random outcome which stochastically domina...
ISIPTA
2005
IEEE
13 years 10 months ago
2005
IEEE
This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a method...
SIAMJO
2008
13 years 4 months ago
2008
We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish clo...
IJAR
2008
13 years 5 months ago
2008
Portfolio management in finance is more than a mathematical problem of optimizing performance under risk constraints. A critical factor in practical portfolio problems is severe u...
CCE
2004
13 years 4 months ago
2004
Optimal control problems involve the difficult task of determining time-varying profiles through dynamic optimization. Such problems become even more complex in practical situatio...