Bounds in multi-horizon stochastic programs
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DOI: 10.1007/s10479-019-03244-9
Abstract: In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in Kaut et al. (Comput Manag Sci 11:179–193, 2014) relevant in many industry-life applications typically involving strategic and operational… read more here.
Keywords: bounds multi; multi horizon; stochastic programs; horizon stochastic ... See more keywords
Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints
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DOI: 10.1080/10556788.2016.1175003
Abstract: Since the pioneering work by Dentcheva and Ruszczyński [Optimization with stochastic dominance constraints, SIAM J. Optim. 14 (2003), pp. 548–566], stochastic programs with second-order dominance constraints (SPSODC) have received extensive discussions over the past decade… read more here.
Keywords: stochastic programs; probability; dominance constraints; approximation ... See more keywords