Introduction to Stochastic Programming

By John R. Birge, F. Louveaux. 1997

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In Mathematical Optimization

Citations in the corpus

Optimal Distributed Online Prediction Using Mini-Batches (2010, background): “sed convex subset of Rn. Before continuing, we note that the stochastic online prediction problem is closely related, but not identical, to the stochastic optimization problem (see, e.g., Wets, 1989; Birge and Louveaux, 1997; Nemirovski et al., 2009). The main diﬀerence between the two is in their g”
The role of demand response in single and multi-objective wind-thermal generation scheduling: A stochastic programming (2014, methodology): “In this paper, the second method is utilized since it realizes a better implementation of stochastic process [24].”
A Stochastic Programming Approach to the Airline Crew Scheduling Problem (2006, background): “This formulation is a standard two-stage stochastic program with recourse [4].”
A two-stage inexact-stochastic programming model for planning carbon dioxide emission trading under uncertainty (2010, background): “In TSP, the first-stage decision is to be made before uncertain information is revealed, whereas the second-stage one (recourse) is to adapt to the previous decision based on the further information; the second-stage decision is used to minimize ‘penalties’ that may appear due to any infeasibility [”
Value-at-Risk in Portfolio Optimization: Properties and Computational Approach ⁄ (2005, background): “General references for stochastic programming models and solution techniques are [7], [14],[22],[33].”
Stochastic Vehicle Routing with Random Travel Times (2003, background): “Stewart and Golden (1983), Dror and Trudeau (1986), Dror et al.”
The Karush-Kuhn-Tucker optimality conditions in an optimization problem with interval-valued objective function (2007, background): “The books written by Birge and Louveaux [ 5 ], Kall [10], Pre ´kopa [15], Stancu-Minasian [18] and Vajda [20] give many useful techniques for solving the stochastic optimization problems.”
Progress in Linear Programming-Based Algorithms for Integer Programming: An Exposition (2000, background): “Expositions of multiscenario, multi-stage stochastic programming are given in the books by Birge and Louveau,[ 15 ] Infanger,[61] and Kall and Wallace.[67]”
A multi-stage stochastic supply network design problem with financial decisions and risk management (2012, unknown): “This approach is the straightforward application to the multi-stage problem of the ‘traditional’ Value of the Stochastic Solution for the two-stage case, which has been widely discussed in the literature so far (see, for instance, [5,22]).”