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检索条件"主题词=Programming: Stochastic"
10 条 记 录,以下是1-10 订阅
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Benchmarking a Scalable Approximate Dynamic programming Algorithm for stochastic Control of Grid-Level Energy Storage
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INFORMS JOURNAL ON COMPUTING 2018年 第1期30卷 106-123页
作者: Salas, Daniel F. Powell, Warren B. Princeton Univ Dept Chem & Biol Engn Princeton NJ 08540 USA Princeton Univ Dept Operat Res & Financial Engn Princeton NJ 08540 USA
We present and benchmark an approximate dynamic programming algorithm that is capable of designing near-optimal control policies for a portfolio of heterogenous storage devices in a time-dependent environment, where w... 详细信息
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Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty
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INFORMS JOURNAL ON COMPUTING 2022年 第4期34卷 2350-2367页
作者: Hu, Zhaolin Hong, L. Jeff Tongji Univ Sch Econ & Management Shanghai 200092 Peoples R China Fudan Univ Sch Management Shanghai 200433 Peoples R China Fudan Univ Sch Data Sci Shanghai 200433 Peoples R China
To use simulation models to study the behaviors of stochastic systems, one needs to specify the distribution of the input random variables. However, specifying this distribution precisely is typically difficult and ev... 详细信息
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stochastic dual dynamic programming applied to nonconvex hydrothermal models
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EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2012年 第3期218卷 687-697页
作者: Cerisola, Santiago Latorre, Jesus M. Ramos, Andres Univ Pontificia Comillas ICAI Inst Invest Tecnol Madrid 28015 Spain
In this paper we apply stochastic dual dynamic programming decomposition to a nonconvex multistage stochastic hydrothermal model where the nonlinear water head effects on production and the nonlinear dependence betwee... 详细信息
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Optimization Under Probabilistic Envelope Constraints
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OPERATIONS RESEARCH 2012年 第3期60卷 682-699页
作者: Xu, Huan Caramanis, Constantine Mannor, Shie Natl Univ Singapore Dept Mech Engn Singapore 117576 Singapore Univ Texas Austin Dept Elect & Comp Engn Austin TX 78712 USA Technion Israel Inst Technol Dept Elect Engn IL-32000 Haifa Israel
Chance constraints are an important modeling tool in stochastic optimization, providing probabilistic guarantees that a solution "succeeds" in satisfying a given constraint. Although they control the probabi... 详细信息
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stochastic programming and the option of doing it differently
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ANNALS OF OPERATIONS RESEARCH 2010年 第1期177卷 3-8页
作者: Wallace, Stein W. Univ Lancaster Sch Management Dept Management Sci Lancaster LA1 4YX England
Option theory and stochastic programming are tightly linked. Most options can be analyzed in both frameworks, and the two approaches support each other in many slightly more complex situations. But this similarity hid... 详细信息
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An approximation scheme for stochastic integer programs arising in capacity expansion
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OPERATIONS RESEARCH 2003年 第3期51卷 461-471页
作者: Ahmed, S Sahinidis, NV Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA Univ Illinois Dept Chem & Biomol Engn Urbana IL 61801 USA
Planning for capacity expansion forms a crucial part of the strategic-level decision making in many applications. Consequently, quantitative models for economic capacity expansion planning have been the subject of int... 详细信息
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The probabilistic set-covering problem
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OPERATIONS RESEARCH 2002年 第6期50卷 956-967页
作者: Beraldi, P Ruszczynski, A Univ Calabria Dipartimento Elettron Informat & Sistemist I-87036 Arcavacata Di Rende CS Italy Rutgers State Univ Dept Management Sci & Informat Syst Piscataway NJ 08854 USA
In a probabilistic set-covering problem the right-hand side is a random binary vector and the covering constraint has to be satisfied with some prescribed probability. We analyze the structure of the set of probabilis... 详细信息
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An integer L-shaped algorithm for the capacitated vehicle routing problem with stochastic demands
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OPERATIONS RESEARCH 2002年 第3期50卷 415-423页
作者: Laporte, G Louveaux, F van Hamme, L Ecole Hautes Etud Commerciales Montreal PQ H3T 1V6 Canada Univ Montreal Ctr Rech Transports Montreal PQ H3C 3J7 Canada Fac Univ Notre Dame Paix Dept Methodes Quantitat B-5000 Namur Belgium OM Partners B-2130 Brasschaat Belgium
The classical Vehicle Routing Problem consists of determining optimal routes for in identical vehicles, starting and leaving at the depot, such that every customer is visited exactly once. In the capacitated version (... 详细信息
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Global stochastic optimization with low-dispersion point sets
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OPERATIONS RESEARCH 2000年 第6期48卷 939-950页
作者: Yakowitz, S L'Ecuyer, P Vázquez-Abad, F Univ Arizona Dept Syst & Ind Engn Tucson AZ USA Univ Montreal Dept Informat & Rech Operat Montreal PQ H3C 3J7 Canada
This study concerns a generic model-free stochastic optimization problem requiring the minimization of a risk function defined on a given bounded domain in a Euclidean space. Smoothness assumptions regarding the risk ... 详细信息
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USE OF SAMPLE INFORMATION IN stochastic RECOURSE AND CHANCE-CONSTRAINED programming-MODELS
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MANAGEMENT SCIENCE 1985年 第1期31卷 96-108页
作者: JAGANNATHAN, R UNIV IOWA COLL BUSINESS ADMIOWA CITYIA 52242 USA
In probabilistic linear programming models the decision maker is typically assumed to know the probability distribution of the random parameters. Here it is assumed that the distribution functions of the parameters ha... 详细信息
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