10 search results - page 1 / 2 » Risk-Averse Two-Stage Stochastic Linear Programming: Modelin... |
IOR
2011
12 years 11 months 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 ...
MP
2008
13 years 4 months ago
2008
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...
HICSS
2007
IEEE
13 years 11 months ago
2007
IEEE
We introduce a stochastic model that describes the quasistatic dynamics of an electric transmission network under perturbations introduced by random load fluctuations, random rem...
CSCLP
2005
Springer
13 years 10 months ago
2005
Springer
Abstract. We adopt Benders’ decomposition algorithm to solve scenariobased Stochastic Constraint Programs (SCPs) with linear recourse. Rather than attempting to solve SCPs via a ...
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...