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MP
2006
110views more  MP 2006»
14 years 12 months ago
Robust game theory
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 ...
Michele Aghassi, Dimitris Bertsimas
MP
2006
87views more  MP 2006»
14 years 12 months ago
Convexity and decomposition of mean-risk stochastic programs
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...
Shabbir Ahmed
MP
2006
103views more  MP 2006»
14 years 12 months ago
Assessing solution quality in stochastic programs
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...
Güzin Bayraksan, David P. Morton
MP
2006
110views more  MP 2006»
14 years 12 months ago
Decomposition and Dynamic Cut Generation in Integer Linear Programming
Decomposition algorithms such as Lagrangian relaxation and Dantzig-Wolfe decomposition are well-known methods that can be used to generate bounds for mixed-integer linear programmi...
Ted K. Ralphs, Matthew V. Galati
MP
2006
120views more  MP 2006»
14 years 12 months ago
Lot-sizing with production and delivery time windows
We study two different lot-sizing problems with time windows that have been proposed recently. For the case of production time windows, in which each client specific order must be ...
Laurence A. Wolsey