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» Computational complexity of stochastic programming problems
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MP
2006
101views more  MP 2006»
13 years 11 months ago
Computational complexity of stochastic programming problems
Stochastic programming is the subfield of mathematical programming that considers optimization in the presence of uncertainty. During the last four decades a vast amount of litera...
Martin E. Dyer, Leen Stougie
MP
2008
117views more  MP 2008»
13 years 11 months ago
Stochastic programming approach to optimization under uncertainty
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 ...
Alexander Shapiro
SAGA
2009
Springer
14 years 5 months ago
Scenario Reduction Techniques in Stochastic Programming
Stochastic programming problems appear as mathematical models for optimization problems under stochastic uncertainty. Most computational approaches for solving such models are base...
Werner Römisch
IPCO
2008
114views Optimization» more  IPCO 2008»
14 years 15 days ago
The Stochastic Machine Replenishment Problem
We study the stochastic machine replenishment problem, which is a canonical special case of closed multiclass queuing systems in Markov decision theory. The problem models the sche...
Kamesh Munagala, Peng Shi
ICALP
2009
Springer
14 years 11 months ago
The Complexity of Nash Equilibria in Simple Stochastic Multiplayer Games
We analyse the computational complexity of finding Nash equilibria in simple stochastic multiplayer games. We show that restricting the search space to equilibria whose payoffs fal...
Michael Ummels, Dominik Wojtczak