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» Structural Properties of Stochastic Dynamic Programs
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MP
2006
175views more  MP 2006»
14 years 11 months ago
Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
Rüdiger Schultz, Stephan Tiedemann
IOR
2008
109views more  IOR 2008»
14 years 11 months ago
Polynomial-Time Algorithms for Stochastic Uncapacitated Lot-Sizing Problems
In 1958, Wagner and Whitin published a seminal paper on the deterministic uncapacitated lot-sizing problem, a fundamental model that is embedded in many practical production plann...
Yongpei Guan, Andrew J. Miller
AI
2000
Springer
14 years 11 months ago
Stochastic dynamic programming with factored representations
Markov decisionprocesses(MDPs) haveproven to be popular models for decision-theoretic planning, but standard dynamic programming algorithms for solving MDPs rely on explicit, stat...
Craig Boutilier, Richard Dearden, Moisés Go...
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IOR
2008
105views more  IOR 2008»
14 years 11 months ago
The Stochastic Knapsack Revisited: Switch-Over Policies and Dynamic Pricing
The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variat...
Grace Y. Lin, Yingdong Lu, David D. Yao
JCC
2008
105views more  JCC 2008»
14 years 11 months ago
Retrieval of spectral and dynamic properties from two-dimensional infrared pump-probe experiments
Abstract: We have developed a fitting algorithm able to extract spectral and dynamic properties of a three level oscillator from a two-dimensional infrared spectrum (2D-IR) detecte...
Riccardo Chelli, Victor V. Volkov, Roberto Righini