Stochastic programming

By R. Wets. 1989

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Optimal Distributed Online Prediction Using Mini-Batches (2010, background): “Before continuing, we note that the stochastic online prediction problem is closely re-lated, but not identical, to the stochastic optimization problem (see, e.g., Wets, 1989; Birge and Louveaux, 1997; Nemirovski et al., 2009).”
Cost of Reliability Analysis Based on Stochastic Unit Commitment (2008, background): “The bundle constraint is stated as: if two scenarios and are indistinguishable from the beginning to time on the basis of information available at time , then the decision rendered for the two scenarios must be identical from the beginning point to time , which will be presented as coupling constrai”
Stochastic Vehicle Routing with Random Travel Times (2003, background): “For more results on chance-constrained programs, see Prekopa (1995).”
Lectures on Stochastic Programming: Modeling and Theory (2009, background): “The α-concavity property of a measure can be related to a generalized concavity property of its density (see Brascamp and Lieb [30], Prékopa [195], Rinott[204].”
A practical guide to robust optimization (2015, methodology): “For details on SO, we refer to Prékopa (1995), Birge and Louveaux (2011) and Ruszczyński and Shapiro (2003), but the list of references can be easily extended.”
Robust SAA (2014, background): “DRO has since received much attention in the literature, with many authors focusing on DUSs F defined by fixing the first few moments of the distribution [6, 10, 28, 29], although some also consider other structural information such as unimodality [16].”
Distributionally Robust Convex Optimization (2014, unknown): “Robust optimization, ambiguous probability distributions, conic optimization.”
A Sequential Bounding Approach for Optimal Appointment Scheduling (2003, background): “First, Equation (8) is written as the following deterministic equivalent of a 2-SLP. (See Dempster (1986), Ermoliev and Wets (1988), Kall and Wallace (1994), and Birge and Louveaux (1997) and references therein for more details.) min E { n∑ i=2 cwi wi + n∑ i=2 csi si + c } , (9) subject to +w2 −s2…”
The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs (2008, background): “4 is that the randomized solution is, with high probability, a feasible solution for a chance-constrained problem, see [21].”
Minimax analysis of stochastic problems (2002, unknown): “∗Supported, in part, by the National Science Foundation under grant DMS-0073770.”
A distributional interpretation of robust optimization (2010, background): “, Birge and Louveraus [12], Prékopa [13], and Shapiro [14]).”
From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization (2010, unknown): “Email: bizteocp@nus.edu.sg.”