A multicut algorithm for two-stage stochastic linear programs
Outer linearization methods, such as Van Slyke and West's L-shaped method for stochastic
linear programs, generally apply a single cut on the nonlinear objective at each major …
linear programs, generally apply a single cut on the nonlinear objective at each major …
Optimization over state feedback policies for robust control with constraints
This paper is concerned with the optimal control of linear discrete-time systems subject to
unknown but bounded state disturbances and mixed polytopic constraints on the state and …
unknown but bounded state disturbances and mixed polytopic constraints on the state and …
A robust optimization perspective on stochastic programming
In this paper, we introduce an approach for constructing uncertainty sets for robust
optimization using new deviation measures for random variables termed the forward and …
optimization using new deviation measures for random variables termed the forward and …
Strategies for the probabilistic lot-sizing problem with service-level constraints
JH Bookbinder, JY Tan - Management Science, 1988 - pubsonline.informs.org
We formulate a stochastic-demand version of the single-stage lot-sizing problem with time-
varying demand, incorporating a service-level constraint on the probability of a stockout …
varying demand, incorporating a service-level constraint on the probability of a stockout …
Primal and dual linear decision rules in stochastic and robust optimization
Linear stochastic programming provides a flexible toolbox for analyzing real-life decision
situations, but it can become computationally cumbersome when recourse decisions are …
situations, but it can become computationally cumbersome when recourse decisions are …