检索结果-内蒙古大学图书馆

Some Explicit Results for the Distribution Problem of stochastic linear programming

Open Journal of Optimization 2016年第4期5卷 140-162页

作者： Afrooz Ansaripour Adriana Mata Sara Nourazari Hillel Kumin Penn State University State College PA USA CAF Development Bank Caracas Venezuela California State University at Long Beach Long Beach CA USA University of Oklahoma Norman OK USA

A technique is developed for finding a closed form expression for the cumulative distribution function of the maximum value of the objective function in a stochastic linear programming problem, where either the objective function coefficients or the right hand side coefficients are continuous random vectors with known probability distributions. This is the “wait and see” problem of stochastic linear programming. Explicit results for the distribution problem are extremely difficult to obtain;indeed, previous results are known only if the right hand side coefficients have an exponential distribution [1]. To date, no explicit results have been obtained for stochastic c, and no new results of any form have appeared since the 1970’s. In this paper, we obtain the first results for stochastic c, and new explicit results if b an c are stochastic vectors with an exponential, gamma, uniform, or triangle distribution. A transformation is utilized that greatly reduces computational time.

关键词： stochastic linear programming The Wait and See Problem Mathematics Subject Classification

来源：评论

学校读者我要写书评

暂无评论

Pricing American contingent claims by stochastic linear programming

引用

OPTIMIZATION 2009年第6期58卷 627-640页

作者： Camci, Ahmet Pinar, Mustafa C. Bilkent Univ Dept Ind Engn TR-06800 Ankara Turkey

We consider pricing of American contingent claims (ACC) as well as their special cases, in a multi-period, discrete time, discrete state space setting. Until now, determining the buyer's price for ACCs required solving an integer programme unlike European contingent claims for which solving a linear programme is sufficient. However, we show that a relaxation of the integer programming problem that is a linear programme, can be used to get the same lower bound for the price of the ACC.

关键词： American contingent claim pricing hedging martingales stochastic linear programming

来源：评论

学校读者我要写书评

暂无评论

A Newton Method for Two-Stage stochastic linear programming

A Newton Method for Two-Stage Stochastic Linear Programming

引用

2011 World Congress on Engineering and Technology(CET 2011)

作者： Saeed Ketabchi Malihe Behboodi Department of Applied Faculty of mathematical scienceRasht Iran

Two-Stage stochastic linear program with recourse is represented as a convex programming problem. The problem is often large-scale because involves an expectation. Moreover objective function is not necessary differentiable. In order to reduce difficulties in solving, the inner problem is approached by quadratic problem which are differentiable and are least two-norm solution problem of inner recourse linear problem. This paper proposes newton method to obtain least two-norm solution of recourse problems by using penalty problem of recourse problem.

关键词： stochastic linear programming Newton method least two-norm solution two-stage stochastic linear programming

来源：评论

学校读者我要写书评

暂无评论

Risk Preferences of EV Fleet Aggregators in Day-Ahead Market Bidding: Mean-CVaR linear programming Model

引用

ENERGIES 2025年第1期18卷 93-93页

作者： Zoltowska, Izabela Warsaw Univ Technol Inst Control & Computat Engn PL-00665 Warsaw Poland

This paper introduces a mean profit- conditional value-at-risk (CVaR) model for purchasing electricity on the day-ahead market (DA) by electric vehicles fleet aggregator (EVA). EVA controls electric vehicles (EVs) during their workplace parking, enabling smart charging and cost savings by accessing market prices that are potentially lower than flat rates available during home charging. The proposed stochastic linear programming model leverages market price scenarios to optimize aggregated charging schedules, which serve as templates for constructing effective DA bidding curves. It integrates an aspiration/reservation-based formulation of the mean profit-risk criteria, specifically Conditional Value at Risk (CVaR) to address the EVA's risk aversion. By incorporating interactive analysis, the framework ensures adaptive and robust charging schedules and bids tailored to the aggregator's risk preferences. Its ability to balance profitability with risk is validated in case studies. This approach provides a practical and computationally efficient tool for EV aggregators of global companies that can benefit from the workplace charging their fleets thanks to buying energy in the DA market.

关键词： aggregator smart charging bid curve CVaR stochastic linear programming

来源：评论

学校读者我要写书评

暂无评论

New Approach of Blind Adaptive Equalizer Based on Genetic Algorithms

TELECOM

引用

TELECOM 2025年第1期6卷 6-6页

作者： Silva, Caroline A. D. Fernandes, Marcelo A. C. Fed Univ Rio Grande do Norte UFRN InovAI Lab nPITI IMD BR-59078970 Natal Brazil Fed Univ Rio Grande do Norte UFRN Leading Adv Technol Ctr Excellence LANCE nPITI IMD BR-59078970 Natal RN Brazil Fed Univ Rio Grande do Norte UFRN Dept Comp Engn & Automat BR-59078970 Natal Brazil

This paper introduces a novel approach to blind adaptive equalization for digital communication systems using genetic algorithms (GAs). Unlike traditional methods that rely on linear programming and suffer from local minima issues, this technique utilizes a stochastic linear programming cost function with GAs for robust optimization. The proposed method termed Blind linear Equalizer based on genetic algorithm (BLE-GA) enhances performance by leveraging a GA's ability to handle stochastic variables, offering rapid convergence and resilience against signal noise and inter-symbol interference. Extensive simulations demonstrate the effectiveness of BLE-GA across different QAM systems, outperforming conventional techniques like the Constant Modulus Algorithm in scenarios with high modulation levels. This study validates the potential of using GAs in adaptive blind equalization to achieve reliable and efficient communication, even in complex and noisy channel conditions.

关键词： blind equalization genetic algorithms linear programming stochastic linear programming

来源：评论

学校读者我要写书评

暂无评论

A two-stage stochastic programming framework for transportation planning in disaster response

引用

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY 2004年第1期55卷 43-53页

作者： Barbarosoglu, G Arda, Y Bogazici Univ Dept Ind Engn TR-80815 Bebek Istanbul Turkey

This study proposes a two-stage stochastic programming model to plan the transportation of vital first-aid commodities to disaster-affected areas during emergency response. A multi-commodity, multi-modal network flow formulation is developed to describe the flow of material over an urban transportation network. Since it is difficult to predict the timing and magnitude of any disaster and its impact on the urban system, resource mobilization is treated in a random manner, and the resource requirements are represented as random variables. Furthermore, uncertainty arising from the vulnerability of the transportation system leads to random arc capacities and supply amounts. Randomness is represented by a finite sample of scenarios for capacity, supply and demand triplet. The two stages are defined with respect to information asymmetry, which discloses uncertainty during the progress of the response. The approach is validated by quantifying the expected value of perfect and stochastic information in problem instances generated out of actual data.

关键词： stochastic linear programming urban studies scenario analysis transport network recourse

来源：评论

学校读者我要写书评

暂无评论

A CLASS OF POLYNOMIAL VOLUMETRIC BARRIER DECOMPOSITION ALGORITHMS FOR stochastic SEMIDEFINITE programming

引用

MATHEMATICS OF COMPUTATION 2011年第275期80卷 1639-1661页

作者： Ariyawansa, K. A. Zhu, Yuntao Washington State Univ Dept Math Pullman WA 99164 USA Arizona State Univ Div Math & Nat Sci Phoenix AZ 85069 USA

Ariyawansa and Zhu have recently proposed a new class of optimization problems termed stochastic semidefinite programs (SSDPs). SSDPs may be viewed as an extension of two-stage stochastic (linear) programs with recourse (SLPs). Zhao has derived a decomposition algorithm for SLPs based on a logarithmic barrier and proved its polynomial complexity. Mehrotra and Ozevin have extended the work of Zhao to the case of SSDPs to derive a polynomial logarithmic barrier decomposition algorithm for SSDPs. An alternative to the logarithmic barrier is the volumetric barrier of Vaidya. There is no work based on the volumetric barrier analogous to that of Zhao for SLPs or to the work of Mehrotra and Ozevin for SSDPs. The purpose of this paper is to derive a class of volumetric barrier decomposition algorithms for SSDPs, and to prove polynomial complexity of certain members of the class.

关键词： stochastic linear programming semidefinite programming stochastic semidefinite programming volumetric-barrier self-concordance decomposition

来源：评论

学校读者我要写书评

暂无评论

Cash management using multi-stage stochastic programming

引用

QUANTITATIVE FINANCE 2010年第2期10卷 209-219页

作者： Ferstl, Robert Weissensteiner, Alex Univ Innsbruck Dept Banking & Finance A-6020 Innsbruck Austria Univ Regensburg Dept Finance Regensburg Germany

We consider a cash management problem where a company with a given financial endowment and given future cash flows minimizes the Conditional Value at Risk of final wealth using a lower bound for the expected terminal wealth. We formulate the optimization problem as a multi-stage stochastic linear program (SLP). The company can choose between a riskless asset (cash), several default- and option-free bonds, and an equity investment, and rebalances the portfolio at every stage. The uncertainty faced by the company is reflected in the development of interest rates and equity returns. Our model has two new features compared to the existing literature, which uses no-arbitrage interest rate models for the scenario generation. First, we explicitly estimate a function for the market price of risk and change the underlying probability measure. Second, we simulate scenarios for equity returns with moment-matching by an extension of the interest rate scenario tree.

关键词： Dynamic stochastic programming stochastic linear programming Cash management Market price of risk Change of measure Scenario generation

来源：评论

学校读者我要写书评

暂无评论

CONTINUITY OF OPTIMUM IN PARAMETRIC programming AND APPLICATIONS TO stochastic programming

引用

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 1976年第3期18卷 319-333页

作者： BEREANU, B UNIV BONN SONDER FORSCH BEREICH 72D-5300 BONN 1FED REP GER MINIST EDUC CTR MATH STATISTICSBUCHARESTROMANIA

It is proved a sufficient condition that the optimal value of a linear program be a continuous function of the coefficients. The condition isessential, in the sense that, if it is not imposed, then examples with discontinuous optimal-value function may be found. It is shown that certain classes of linear programs important in applications satisfy this condition. Using the relation between parametric linear programming and the distribution problem in stochastic programming, a necessary and sufficient condition is given that such a program has optimal value. Stable stochastic linear programs are introduced, and a sufficient condition of such stability, important in computation problems, is established.

关键词： distribution problem of stochastic programming Parametric programming stability of stochastic linear programs stochastic linear programming

来源：评论

学校读者我要写书评

暂无评论

The empirical behavior of sampling methods for stochastic programming

引用

ANNALS OF OPERATIONS RESEARCH 2006年第1期142卷 215-241页

作者： Linderoth, J Shapiro, A Wright, S Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA Lehigh Univ Dept Ind & Syst Engn Bethlehem PA 18015 USA Univ Wisconsin Dept Comp Sci Madison WI 53706 USA

We investigate the quality of solutions obtained from sample-average approximations to two-stage stochastic linear programs with recourse. We use a recently developed software tool executing on a computational grid to solve many large instances of these problems, allowing us to obtain high-quality solutions and to verify optimality and near-optimality of the computed solutions in various ways.

关键词： stochastic linear programming recourse sample average approximations computational grid Monte Carlo sampling optimality gap statistical KKT test

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：