8 search results - page 1 / 2 » Nonlinear Stochastic Programming Involving CVaR in the Objec... |
ORL
2008
14 years 9 months ago
2008
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
IJCAI
2003
14 years 11 months ago
2003
To model combinatorial decision problems involving uncertainty and probability, we extend the stochastic constraint programming framework proposed in [Walsh, 2002] along a number ...
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OL
2007
14 years 9 months ago
2007
We propose an SQP-type algorithm for solving nonlinear second-order cone programming (NSOCP) problems. At every iteration, the algorithm solves a convex SOCP subproblem in which th...
NETWORKS
2008
14 years 9 months ago
2008
The Network Interdiction Problem involves interrupting an adversary's ability to maximize flow through a capacitated network by destroying portions of the network. A budget c...
COR
2008
14 years 9 months ago
2008
-- The optimal buffer allocation in queueing network systems is a difficult stochastic, non-linear, integer mathematical programming problem. Moreover, the objective function, the ...