MP
2006
13 years 5 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...
MP
2006
13 years 5 months ago
2006
We present a distribution-free model of incomplete-information games, both with and without private information, in which the players use a robust optimization approach to contend ...
MP
2006
13 years 5 months ago
2006
Determining if a solution is optimal or near optimal is fundamental in optimization theory, algorithms, and computation. For instance, Karush-Kuhn-Tucker conditions provide necessa...
MP
2006
13 years 5 months ago
2006
Monte Carlo methods have been used extensively in the area of stochastic programming. As with other methods that involve a level of uncertainty, theoretical properties are required...
MP
2006
13 years 5 months ago
2006
In this paper, we present a robust optimization formulation for dealing with demand uncertainty in a dynamic pricing and inventory control problem for a make-to-stock manufacturing...