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MP
2011
14 years 6 months ago
A warm-start approach for large-scale stochastic linear programs
Marco Colombo, Jacek Gondzio, Andreas Grothey
MP
2006
100views more  MP 2006»
14 years 11 months ago
A branch-and-cut algorithm for the stochastic uncapacitated lot-sizing problem
This paper addresses a multi-stage stochastic integer programming formulation of the uncapacitated lot-sizing problem under uncertainty. We show that the classical ( , S) inequalit...
Yongpei Guan, Shabbir Ahmed, George L. Nemhauser, ...
ICALP
2007
Springer
15 years 5 months ago
Commitment Under Uncertainty: Two-Stage Stochastic Matching Problems
Abstract. We define and study two versions of the bipartite matching problem in the framework of two-stage stochastic optimization with recourse. In one version the uncertainty is...
Irit Katriel, Claire Kenyon-Mathieu, Eli Upfal
IFIP
2005
Springer
15 years 5 months ago
Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spo...
Ronald Hochreiter, Georg Ch. Pflug, David Wozabal